𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Impacts of Surrender Options on Reserve Durations

✍ Scribed by Chenghsien Tsai


Book ID
117961964
Publisher
Wiley (Blackwell Publishing)
Year
2012
Tongue
English
Weight
777 KB
Volume
15
Category
Article
ISSN
1098-1616

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The duration of option portfolios
✍ Mark B. Garman πŸ“‚ Article πŸ“… 1985 πŸ› Elsevier Science 🌐 English βš– 447 KB
The impact of liquidity on option prices
✍ Robin K. Chou; San-Lin Chung; Yu-Jen Hsiao; Yaw-Huei Wang πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 148 KB

This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei ( 2009), a clear link remains between option p