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Advanced Search Results For "Figlewski, Stephen"

1 - 10 of 152 results for
 "Figlewski, Stephen"
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An American Call Is Worth More Than a European Call: The Value of American Exercise When the Market Is Not Perfectly Liquid.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis; May2022, Vol. 57 Issue 3, p1023-1057, 35p

Abstract:Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. Ho...

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Option Investor Rationality Revisited: The Role of Exercise Boundary Violations.

Publication Type:Academic Journal

Source(s):Financial Analysts Journal. 2020, Vol. 76 Issue 1, p82-99. 18p.

Abstract:The authors dispute the theory that American call options should not be exercised early. By looking at intraday pricing, they find that the best bid price available is often lower than the option's intrinsic value and early exercise can be rational. Ou...

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Risk-Neutral Densities: A Review.

Publication Type:Academic Journal

Source(s):Annual Review of Financial Economics; Nov2018, Vol. 10, p329-359, 24p

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Market Risk and Model Risk for a Financial Institution Writing Options.

Publication Type:Academic Journal

Source(s):Journal of Finance (Wiley-Blackwell). Aug1999, Vol. 54 Issue 4, p1465-1499. 35p. 5 Charts.

Abstract:Derivatives valuation and risk management involve heavy use of quantitative models. To develop a quantitative assessment of model risk as it affects the basic option writing strategy that might be followed by a financial institution, we conduct an empi...

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Discussion of Price Volatility and Speculation.

Publication Type:Academic Journal

Source(s):Journal of Accounting, Auditing & Finance. Spring90, Vol. 5 Issue 2, p303-307. 5p.

Abstract:Comments on the article focusing on the relationship between price volatility and speculation in the futures market. Interaction between speculation in a futures market and price volatility of the underlying cash market; Effects on the variance of the...

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The Interaction between Derivative Securities on Financial Instruments and the Underlying Cash Markets: An Overview.

Publication Type:Academic Journal

Source(s):Journal of Accounting, Auditing & Finance. Summer87, Vol. 2 Issue 3, p299-318. 20p.

Abstract:This article examines the role of contingent claims in the overall financial market system. The article also analyzes the interaction between these markets and those for the underlying securities in the United States. Section II begins with a discussi...

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THE INFORMATIONAL EFFECTS OF RESTRICTIONS ON SHORT SALES: SOME EMPIRICAL EVIDENCE.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Nov81, Vol. 16 Issue 4, p463-476. 14p.

Abstract:The article reports on the informational effects of restrictions on short sales with empirical research. Short sales are important in U.S. financial markets and when they are restricted it presents an asymmetric impact on investors with both favorable ...

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Options, Short Sales, and Market Completeness.

Publication Type:Academic Journal

Source(s):Journal of Finance (Wiley-Blackwell). Jun93, Vol. 48 Issue 2, p761-777. 17p.

Abstract:This paper presents empirical evidence that trading in options contributes to both transactional and informational efficiency of the stock market by reducing the effect of constraints on short sales. The significantly higher average level of short inte...

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Options Arbitrage in Imperfect Markets.

Publication Type:Academic Journal

Source(s):Journal of Finance (Wiley-Blackwell). Dec1989, Vol. 44 Issue 5, p1289-1311. 23p.

Abstract:Option valuation models are based on an arbitrage strategy-hedging the option against the underlying asset and rebalancing continuously until expiration-that is only possible in a frictionless market. This paper simulates the impact of market imperfect...

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Hedging Performance and Basis Risk in Stock Index Futures.

Publication Type:Academic Journal

Source(s):Journal of Finance (Wiley-Blackwell). Jul1984, Vol. 39 Issue 3, p657-669. 13p.

Abstract:This article presents an examination of the basis and different sources of basis risk on the Standard and Poor's (S&P) 500 index contract. The author presents various results about the use and usefulness of stock index futures in hedging and about the ...

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