Search Results - subject:"S&P 100 index"

Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of Risk and Financial Management 9 (2016) 4, pp. 1-14

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Persistent link: https://www.econbiz.de/10011843276

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10011543019

The value of the wildcard option in cash-settled American index options

Lasser, Dennis J.; Spizman, Joshua D. - In: Journal of financial markets 28 (2016), pp. 116-131

Persistent link: https://www.econbiz.de/10011722239

Is S&P100 index a mean-variance efficient portfolio?

Robbani, Mohammad G.; Jain, Ajeet - In: International journal of financial research 7 (2016) 5, pp. 1-6

Persistent link: https://www.econbiz.de/10011579722

Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options

Liu, Qiang; Guo, Shuxin - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 77-89

volatility implied under vCLM by the option's market price from a previous trading day. For 16,249 American-style S&P 100 index …

Persistent link: https://www.econbiz.de/10010777018

Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options

Liu, Qiang; Guo, Shuxin - In: The North American journal of economics and finance : a … 28 (2014), pp. 77-89

Persistent link: https://www.econbiz.de/10010461176

American option pricing under stochastic volatility: an empirical evaluation

AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science 7 (2010) 2, pp. 189-206

Persistent link: https://www.econbiz.de/10008594131

Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market

Engle, Robert F - Department of Economics, University of California-San … - 1999

In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100 index options …

Persistent link: https://www.econbiz.de/10010536508