Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Options Arbitrage In Imperfect Markets full books in PDF, epub, and Kindle. Read online Options Arbitrage In Imperfect Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Stephen Figlewski
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.0/5 ( download)
Download or read book Options Arbitrage in Imperfect Markets written by Stephen Figlewski and published by . This book was released on 1987 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Salazar Volkmann
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (118 download)
Download or read book Analysis of Option Returns in Perfect and Imperfect Markets written by David Salazar Volkmann and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis studies index and equity option returns in perfect and imperfect markets to explain parts of the option mispricing puzzle. Perfect markets exist under informational efficiency, market completeness and frictionless trading. The thesis shows that an option-implied risk-adjusted approach and the standard Black-Scholes model are consistent with empirical mean and volatility of S&P500 put returns and ITM call returns, but not OTM call returns. Imperfect markets exist under market frictions which allow arbitrage-free deviations of option prices from fair value resulting in option retur...
Author : Samuel Armstrong Nelson
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.3/5 (91 download)
Download or read book The A B C of Options and Arbitrage written by Samuel Armstrong Nelson and published by . This book was released on 1904 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thierry Post
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Risk Arbitrage Opportunities for Stock Index Options written by Thierry Post and published by . This book was released on 2019 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index options yields significant abnormal returns out of sample, for small-scale portfolios. However, outperformance seems elusive if the strategy is scaled up and market depth is taken into account.
Author : Pablo Koch-Medina
Publisher : Springer Nature
ISBN 13 : 3030397246
Total Pages : 448 pages
Book Rating : 4.0/5 (33 download)
Download or read book Market-Consistent Prices written by Pablo Koch-Medina and published by Springer Nature. This book was released on 2020-07-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.
Author : Margaret M. Forster
Publisher :
ISBN 13 :
Total Pages : 300 pages
Book Rating : 4.E/5 ( download)
Download or read book Arbitrage Opportunities, Imperfect Information and Defaults written by Margaret M. Forster and published by . This book was released on 1990 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S. A. Nelson
Publisher : Forgotten Books
ISBN 13 : 9781330120132
Total Pages : 92 pages
Book Rating : 4.1/5 (21 download)
Download or read book The A B C of Options and Arbitrage written by S. A. Nelson and published by Forgotten Books. This book was released on 2015-06-16 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from The A B C of Options and Arbitrage In the preparation of this little primer difficulty has been experienced in reducing the technical and complicated terms and methods employed in the money market to simple statements of fact that may be readily understood by the "outsider" or those unfamiliar with the subject. We desire to express our thanks for substantial aid obtained from Mr. H. W. Rosenbaum, the late Mr. Dow, Mr. Charles Castelli, Mr. Leonard Higgins and the Wall Street Journal. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author : John C. Cox
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.3/5 (91 download)
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Author : Alejandro Balbás
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (129 download)
Download or read book Measuring arbitrage profits in imperfect markets written by Alejandro Balbás and published by . This book was released on 2000 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stewart Dimont Hodges
Publisher : Manchester University Press
ISBN 13 : 9780719030093
Total Pages : 202 pages
Book Rating : 4.0/5 (3 download)
Download or read book Options written by Stewart Dimont Hodges and published by Manchester University Press. This book was released on 1990 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alejandro Balbas
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (535 download)
Download or read book Measuring Arbitrage Profits in Imperfect Markets written by Alejandro Balbas and published by . This book was released on 2000 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stewart Hodges
Publisher : Manchester University Press
ISBN 13 : 9780719036354
Total Pages : 344 pages
Book Rating : 4.0/5 (363 download)
Download or read book Options written by Stewart Hodges and published by Manchester University Press. This book was released on 1992 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eli Ofek
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (249 download)
Download or read book Limited Arbitrage and Short Sales Restrictions written by Eli Ofek and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short sale restrictions. We use a new and comprehensive sample of options on individual stocks in combination with a measure of the cost and difficulty of short selling, specifically the spread between the rate a short-seller earns on the proceeds from the sale relative to the standard rate (the rebate rate spread). We find that violations of put-call parity are asymmetric in the direction of short sales constraints, their magnitudes are strongly related to the rebate rate spread, and they are maintained even in the presence of transactions costs both in the options and equity lending market. These violations appear to be related to both the maturity of the option and the level of valuations in the stock market, consistent with a behavioral finance theory that relies on over-optimistic investors in the stock market and segmentation between the stock and options markets. Moreover, the extent of violations of put-call parity and the rebate rate spread for individual stocks are significant predictors of future stock returns. For example, cumulative abnormal returns, net of borrowing costs, over a 2¿g±-year sample period can exceed 65%
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)
Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Author : Harry M. Kat
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.3/5 (512 download)
Download or read book The Efficiency of Dynamic Trading Strategies in Imperfect Markets written by Harry M. Kat and published by . This book was released on 1993 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joel Stuart Sternberg
Publisher :
ISBN 13 :
Total Pages : 340 pages
Book Rating : 4.:/5 (217 download)
Download or read book Arbitrage and Efficiency in the Stock Index Futures and Options Markets written by Joel Stuart Sternberg and published by . This book was released on 1986 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Ardia
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book Arbitrage Opportunities on the ODAX Options Market written by David Ardia and published by . This book was released on 2018 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article analyses the arbitrage opportunities on the ODAX options market in an intra-daily framework. Tests are based on the prices' lower boundary and on the put-call parity. We consider the futures price for the underlying and the bid-ask spread in order to diminish the synchronisation bias and integrate transaction costs. Our results exhibit a small number of violations. Furthermore, the potential gains are not substantial for market-makers.
