Options, premium contracts, and the EOE
โ Scribed by A. F. T. Payne
- Publisher
- Springer
- Year
- 1981
- Tongue
- English
- Weight
- 770 KB
- Volume
- 129
- Category
- Article
- ISSN
- 0013-063X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract The introduction of unspanned sources of risk (and frictions) implies that option prices include a risk premium. Prima facie evidence of the existence of risk premia in option prices is contained in the implied volatility smile patterns reported in the literature. This article isolates
utures contracts in Government National Mortgage Association (GNMA) F passthrough certificates were introduced on the Chicago Board of Trade (CBT) in 1975. Two types of contracts exist. The GNMA Collateralized Depository Receipt (CDR) future delivery vehicle is a CDR backed by GNMA certificates. The
## Abstract This note examines options expiration effects in the presence of individual stock futures contracts with different settlement methods. It is found that the availability of the futures contracts attenuate the expiration effects on price volatility and trading volume of individual stocks.
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