Index Options
Hedging with Stock Index Options: A Mean Extended Gini Approach
... One of the more efficient methods to hedge portfolios of securities whose put options are not traded is to use stock in- dex options. We use the mean-extended Gini (MEG) model to derive the optimal hedge ...
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ROLE OF STOCK INDEX OPTIONS IN INTERNATIONAL DERIVATIVES MARKET
... the options to the stock index, but the lead effect of stock index market rules over that of the options ...put options are needed to hedge away each and every ...growth index ...
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A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange
... 500 index and index options from January 1, 1986, through December 31, ...that options market efficiency improved over ...between index and options ...and index ...
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Revisiting variance gamma pricing : an application to S&P500 index options
... We reformulate the Lévy-Kintchine formula to make it suitable for modelling the stochastic time-changing effects of Lévy processes. Using Variance-Gamma (VG) process as an example, it illustrates the dynamic properties ...
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Price Deviations of S&P 500 Index Options from the Black Scholes Formula Follow a Simple Pattern
... SPX options, Dumas, Fleming, and Whaley (1998) perform out-of-sample empirical tests of the deterministic volatility functions and find that they are outper- formed by an ad hoc implementation of the Black-Scholes ...
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Performance of the Heston’s Stochastic Volatility Model: A Study in Indian Index Options Market
... Nifty index options are the most liquid equity options in the world in terms of the number of contracts traded, it becomes imperative to conduct a comprehensive comparison of select option pricing ...
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Kou Jump Diffusion Model: An Application to the S&P 500; Nasdaq 100 and Russell 2000 Index Options
... with options written on three US indexes during 2007: Large cap (Standard and Poor 500 [SP 500]), Hi-Tech cap (Nasdaq 100) and small cap (Russell ...2000 index options than for the SP 500 ...
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Empirical pricing kernels obtained from the UK index options market
... To make sure that the parametric densities discussed above are not inferior to more flexible density curves, we also infer risk-neutral densities defined by spline functions, as estimated by Bliss and Panigirtzoglou ...
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Pricing and Hedging Index Options with a Dominant Constituent Stock
... from 2000 to 2012 and price a one year put from June 2012 to June 2013. We look at two strike prices, one that matures in the money and one that matures out of the money. The Bank of Korea, South Korea’s central bank, ...
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An Exploratory Viewpoint on the Perspectives and Practices of Testing Alternative Option Pricing Models
... Testing of alternative models has substantially focused on stock index options and the Volatility smirk/smile evidence of negatively skewed risk neutral distributions. Though majority of this work has been ...
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A state-contingent claim approach to asset valuation
... the index, and find it to be a useful proxy for expected stock market ...100 index to the S&P 500 index, as S&P 500 derivatives are more actively ...addition, options over a range of ...
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Coarse thinking, implied volatility, and the valuation of call and put options
... call options (corresponding at-the-money and in-the – money puts ...index options. Similar patterns are observed for other equity index options (such as Nikkei and Dow ...
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chap15.pptx
... Options on Stocks Paying Known Dividend Yields.. Valuation of European Stock Index Options.[r] ...
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A macro financial analysis of the euro area sovereign bond market National Bank of Belgium Working Paper No 259, June 2014
... Board Options Exchange (CBOE) Market Volatility Index (VIX ), obtained from Datastream, which expresses the implied volatility of the Standard & Poor’s (S&P) 500 stock market index ...
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The Stochastic Dominance Violation of Index Call Options in the Presence of Market Makers
... whether index options are over- ...500 Index call options are frequently overpriced in the sense that every rational agent can improve her expected utility by writing these call options ...
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Are Mispricings Long Lasting or Short Lived? Evidence from S & P 500 Index ETF Options
... of index options, retrieved from Option Metric ...500 index ETF (SPY: NYSE) as the un- derlying security, as they have high liquidity and small bid-ask ...
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A Simple Model to Explain Expensive Index Call Options
... expensive index options are one of the unsolved puzzles in the finance ...expensive index options is academically and practically important, because index options are one of the ...
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VIX and VIX Futures Pricing Algorithms: Cultivating Understanding
... One of the main, documented benefits of trading VIX- type contracts is its negative correlation with movements in the market. The inverse relationship between market volatility and stock market returns is well documented ...
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AY34 2 datanetOper May80 pdf
... The following error control options are the same for all COLTS tests and can be entered in response to an Enter Options message or designated in the options string of a new test request.[r] ...
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Real options in the context of innovation and development policies and practices. ACES Working Papers, 2012
... real options in strategic decision making (Carayannis and Sipp, 2010) and instill some real options-related concepts stemming from systems design, more particularly ...real options “in” system and ...
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