✦ LIBER ✦

CRITICAL STOCK PRICE NEAR EXPIRATION

✍ Scribed by Guy Barles; Julien Burdeau; Marc Romano; Nicolas Samsoen

Book ID: 111042995
Publisher: John Wiley and Sons
Year: 1995
Tongue: English
Weight: 519 KB
Volume: 5
Category: Article
ISSN: 0960-1627
DOI: 10.1111/j.1467-9965.1995.tb00103.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Stock price clustering on option expirat

Stock price clustering on option expiration dates

✍ Sophie Xiaoyan Ni; Neil D. Pearson; Allen M. Poteshman 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 391 KB

Mathematical Models for Stock Pinning ne

Mathematical Models for Stock Pinning near Option Expiration Dates

✍ Marco Avellaneda; Gennady Kasyan; Michael D. Lipkin 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 946 KB

The pricing of stock index futures sprea

The pricing of stock index futures spreads at contract expiration

✍ Alex Frino; Michael D. McKenzie 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 150 KB

## Abstract This paper conducts an empirical analysis of the mispricing of calendar spreads for stock index futures. Using recent data drawn from the Sydney Futures Exchange, a sharp increase in the magnitude of spread mispricing immediately prior to maturity of the near contract is documented. Thi

The American Put Option and Its Critical

The American Put Option and Its Critical Stock Price

✍ David S. Bunch; Herb Johnson 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 152 KB

The critical stock price for the America

The critical stock price for the American put option

✍ Y. Peter Chung; Herb Johnson; Vassilis Polimenis 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 192 KB

CRITICAL PRICE NEAR MATURITY FOR AN AMER

CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL

✍ Etienne Chevalier 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 207 KB