The Information Content Of Prices In Derivative Security Markets
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| Author | : Louis O. Scott |
| Publisher | : International Monetary Fund |
| Total Pages | : 42 |
| Release | : 1991-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1451932553 |
Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market’s expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence.
| Author | : Louis Scott |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market`s expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence.
| Author | : Louis O. Scott |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 1991 |
| Genre | : |
| ISBN | : |
| Author | : Cliff Moll |
| Publisher | : |
| Total Pages | : 114 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
ABSTRACT: In Chapter 2, we use a sample of firms with actively traded single stock futures (SSF) to examine the information content of implied risk premiums embedded in SSF and option prices for future stock and portfolio returns. We believe this to be the first comprehensive study relating embedded risk premiums in cost-of-carry and put-call parity deviations to future stock returns. In addition, we test the possibility of a maturity dependent relation between the embedded risk premia and future returns. Overall, our results indicate that investors cannot profit from perceived mispricings in the SSF and option markets. The absence of a consistent relation between the implied risk premia and future returns implies that SSF and option markets are efficient in that any perceived mispricings in the SSF or option markets cannot be used to forecast future equity returns.
| Author | : Patrick Boyle |
| Publisher | : Walter de Gruyter GmbH & Co KG |
| Total Pages | : 273 |
| Release | : 2018-12-17 |
| Genre | : Business & Economics |
| ISBN | : 1547401214 |
Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
| Author | : Robert E. Whaley |
| Publisher | : John Wiley & Sons |
| Total Pages | : 962 |
| Release | : 2007-02-26 |
| Genre | : Business & Economics |
| ISBN | : 0470086386 |
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
| Author | : Robert A Jarrow |
| Publisher | : World Scientific |
| Total Pages | : 763 |
| Release | : 2024-05-03 |
| Genre | : Business & Economics |
| ISBN | : 9811291691 |
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
| Author | : Kwok Sang Tse |
| Publisher | : |
| Total Pages | : 282 |
| Release | : 1990 |
| Genre | : Securities |
| ISBN | : |
| Author | : Robert A Jarrow |
| Publisher | : World Scientific |
| Total Pages | : 609 |
| Release | : 2008-10-08 |
| Genre | : Business & Economics |
| ISBN | : 9814470635 |
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
| Author | : Salih N. Neftci |
| Publisher | : Academic Press |
| Total Pages | : 550 |
| Release | : 2000-05-19 |
| Genre | : Business & Economics |
| ISBN | : 0125153929 |
A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.
