𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Effects of Uncertainty Aversion on the Call Option Market

✍ Scribed by Aldo Montesano

Book ID
106543492
Publisher
Springer US
Year
2008
Tongue
English
Weight
238 KB
Volume
65
Category
Article
ISSN
0040-5833

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Price discovery in the options markets:
Price discovery in the options markets: An application of put-call parity
✍ Wen-Liang G. Hsieh; Chin-Shen Lee; Shu-Fang Yuan πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 336 KB

## Abstract This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put‐call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviat

Effects of rollover strategies and infor
Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market
✍ Youngsoo Choi; SoonChan Ok πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 453 KB πŸ‘ 2 views

## Abstract One of the most widely used option valuation models among practitioners is the ad hoc Black–Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider two rollover strategies (nearest‐to‐next strategy and next‐to‐next) used in the AHBS model to in