Zobrazeno 1 - 10
of 91
pro vyhledávání: '"Stephen Figlewski"'
Autor:
Stephen Figlewski
Publikováno v:
Journal of Financial and Quantitative Analysis. 57:1023-1057
An easily proved theoretical principle in option pricing is that an American call option should never be exercised early, except possibly just before an ex-dividend date. This result depends on the ability to liquidate an option position, European or
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::de789999d6b6da690b6c854f43240922
https://doi.org/10.1017/s0022109021000272
https://doi.org/10.1017/s0022109021000272
Publikováno v:
Financial Analysts Journal. 76:82-99
Do option investors rationally exercise their options? Numerous studies report evidence of irrational behavior. In this paper, we pay careful attention to intraday option quotes and reach the opposite conclusion. An exercise boundary violation (EBV)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f735735088744200a880cc0fc71ae8d1
https://doi.org/10.1080/0015198x.2019.1694362
https://doi.org/10.1080/0015198x.2019.1694362
Autor:
Stephen Figlewski
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4b9741e3c6ee6c4bf3c8f808c957f796
https://doi.org/10.2139/ssrn.4254275
https://doi.org/10.2139/ssrn.4254275
Publikováno v:
SSRN Electronic Journal.
We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates than are othe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::503ac475eaca8ebf19fb71813a5fbb34
https://doi.org/10.2139/ssrn.3825894
https://doi.org/10.2139/ssrn.3825894
Autor:
Stephen Figlewski
Publikováno v:
Annual Review of Financial Economics. 10:329-359
Trading in options with a wide range of exercise prices and a single maturity allows a researcher to extract the market's risk-neutral density (RND) over the underlying price at expiration. The RND contains investors’ beliefs about the true probabi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79daf824dcd57174922b202e7333616f
https://doi.org/10.1146/annurev-financial-110217-022944
https://doi.org/10.1146/annurev-financial-110217-022944
Publikováno v:
The Journal of Derivatives. 26:109-111
Peter Christoffersen passed away on June 22, 2018 at an early age. He was one of the most prolific and gifted researchers in the area of derivatives, combining a very strong theoretical background with an appreciation for the practical details of rea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::651116fb27fa5dc0191c1e0beb2cd2cb
https://doi.org/10.3905/jod.2018.26.1.109
https://doi.org/10.3905/jod.2018.26.1.109
Autor:
Stephen Figlewski
Publikováno v:
The Journal of Derivatives. 25:1-3
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8f5f82f7e99a7c70d784a07094e22cb
https://doi.org/10.3905/jod.2018.25.4.001
https://doi.org/10.3905/jod.2018.25.4.001
Autor:
Stephen Figlewski
Publikováno v:
The Journal of Portfolio Management. 43:29-42
Under Black–Scholes (BS) assumptions, empirical volatility and risk-neutral volatility are given by a single parameter that captures all aspects of risk. Inverting the model to extract implied volatility from an option’s market price gives the ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a17d32d29d4c7a3d3d8c1abe8d28342
https://doi.org/10.3905/jpm.2016.43.1.029
https://doi.org/10.3905/jpm.2016.43.1.029
Autor:
Stephen Figlewski
Publikováno v:
Journal of Futures Markets. 37:316-327
Derivatives valuation has strong theoretical support because models are derived from the principle that arbitrage between the derivative and its underlying will eliminate riskless profits and drive the market price to the model value. “No-arbitrage
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3ee9e3ba78c3bba38ba626b56156af57
https://doi.org/10.1002/fut.21806
https://doi.org/10.1002/fut.21806
Autor:
Stephen Figlewski
Publikováno v:
The Journal of Derivatives. 25:1-3
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1688ac1b58fc16b3c3d395cb19cbc8d0
https://doi.org/10.3905/jod.2017.25.1.001
https://doi.org/10.3905/jod.2017.25.1.001