𝔖 Bobbio Scriptorium
✦   LIBER   ✦

An Empirical Investigation of the Option-Adjusted Realized Return

✍ Scribed by Wm. Steven Smith; Charles Harter

Book ID
110404680
Publisher
Springer US
Year
2002
Tongue
English
Weight
111 KB
Volume
19
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

An empirical model of volatility of retu
An empirical model of volatility of returns and option pricing
✍ Joseph L. McCauley; Gemunu H. Gunaratne πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 222 KB

This paper reports several entirely new results on ΓΏnancial market dynamics and option pricing. We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop a ne

An empirical investigation of the GARCH
An empirical investigation of the GARCH option pricing model: Hedging performance
✍ Haynes H. M. Yung; Hua Zhang πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 160 KB πŸ‘ 1 views

## Abstract In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc Black‐Scholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH)

An empirical investigation of the early
An empirical investigation of the early exercise premium of foreign currency options
✍ Philippe Jorion; Neal M. Stoughton πŸ“‚ Article πŸ“… 1989 πŸ› John Wiley and Sons 🌐 English βš– 725 KB

on traders are aware that M American-type option is generally worth more than 0 a European-type option because of the potential for exercise at any time until expiration of the contract. This difference may be termed the early exercise premium. Only recently has it become possibie to empirically me