Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Nikunj Kapadia"'
Autor:
Matthew Linn, Nikunj Kapadia
Publikováno v:
SSRN Electronic Journal.
Since the early 2000s liquidity in option markets has become less resilient, and our evidence suggests that it is so because of an increased vulnerability to liquidity shocks in the underlying. To demonstrate the causal impact, we consider an inciden
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a4d93de68f026c9364a289f1104dda37
https://doi.org/10.2139/ssrn.3517429
https://doi.org/10.2139/ssrn.3517429
Publikováno v:
European Journal of Operational Research. 240:706-717
Engineering and operations management decisions have become increasingly complex as a result of recent advances in information technology. The increased ability to access and communicate information has resulted in expanded system domains consisting
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cd725ee156b8bb043e5aaafd2ed2bf7f
https://doi.org/10.1016/j.ejor.2014.05.037
https://doi.org/10.1016/j.ejor.2014.05.037
Publikováno v:
NSPW
Ethereum contracts can be designed to function as fully decentralized applications called DAPPs that hold financial assets, and many have already been fielded. Unfortunately, DAPPs can be hacked, and the assets they control can be stolen. A recent at
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::19015c6f14b1d2d4783b8b0d3119163b
https://doi.org/10.1145/3171533.3171541
https://doi.org/10.1145/3171533.3171541
Publikováno v:
Journal of Credit Risk.
Rating downgrades can have adverse consequences on a firm due to the feedback effect, even when ratings lack informational content. In this paper, we consider whether the rating agency attempts to mitigate the feedback effect through its rating actio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b056af5284aded55a52f46e8fbeca39d
https://doi.org/10.21314/jcr.2017.226
https://doi.org/10.21314/jcr.2017.226
Publikováno v:
SSRN Electronic Journal.
An unusual combination of assumptions - markets have frictions, but nonetheless are price efficient - is required to justify the generic buy-write strategy. In theory, a buy-write strategy allows investors to earn the variance risk premium (VRP) when
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2c68d6097ba5b5f5a184e2cc7e83c4e1
https://doi.org/10.2139/ssrn.2807556
https://doi.org/10.2139/ssrn.2807556
Autor:
Nikunj Kapadia, Edward Szado
Publikováno v:
The Journal of Investing. 21:59-80
Using data from January 18, 1996 to March 31, 2011, we construct and evaluate returns on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has consistently outperformed the Russell 2000 index on a risk-adjusted
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8749b78c6e1626ebe12a60799b53431c
https://doi.org/10.3905/joi.2012.21.4.059
https://doi.org/10.3905/joi.2012.21.4.059
Autor:
Gregory Willette, Nikunj Kapadia
Publikováno v:
Review of Derivatives Research. 15:129-156
We review recent European warrant pricing theory that accounts for other securities in the capital structure of the firm, besides the stock and a warrant. An individual who owns a European warrant determines his exercise policy in equilibrium taking
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::963a354acb46cdf4d6730afce68a6371
https://doi.org/10.1007/s11147-011-9072-7
https://doi.org/10.1007/s11147-011-9072-7
Autor:
Edward Szado, Nikunj Kapadia
Publikováno v:
The Journal of Alternative Investments. 9:39-56
This article is motivated by significant recent interest in the use of buy-write strategies for investment purposes. In light of this, the CBOE has introduced a number of buy-write indices based on a variety of equity indices such as the S&P 500, the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::697b4b53c651a61cd52fbec83b107e1c
https://doi.org/10.3905/jai.2007.682735
https://doi.org/10.3905/jai.2007.682735
Autor:
Nikunj Kapadia
Publikováno v:
Wiley Encyclopedia of Management
In both the academic and popular press, the subject of volatility risk has been an issue of debate. Keywords: volatility risk pricing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9f831a6c4ac4996a0846340da5e032ee
https://doi.org/10.1002/9781118785317.weom040082
https://doi.org/10.1002/9781118785317.weom040082
Autor:
Gurdip Bakshi, Nikunj Kapadia
Publikováno v:
The Journal of Derivatives. 11:45-54
The accumulation of trading experience and empirical evidence since the original Black-Scholes (BS) model was developed, have made it increasingly evident that volatility is not a constant parameter, as BS assumed, but stochastic. With a second rando
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07af14166c9d0d92e2412c521b352e05
https://doi.org/10.3905/jod.2003.319210
https://doi.org/10.3905/jod.2003.319210