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Can derivative information predict stock price jumps?

Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860

Persistent link: https://www.econbiz.de/10011304812

EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS

Vasile, Emilia; Armeanu, Dan - In: Journal for Economic Forecasting 6 (2009) 1, pp. 48-62

. Once this problem is solved, we will analyze the relationship existing between implicit volatility moneyness and due term … provided by the Black-Scholes model, which will be studied, given moneyness and due-term of options. …

Persistent link: https://www.econbiz.de/10005052118

Pricing of put warrants and competition among issuers

Guo, Wen-chung; Chen, Ying-huei - In: Economics Bulletin 34 (2014) 4, pp. 2315-2323

Issuers may compete with each other by issuing similar warrants with the same underlying stocks, causing a supply-side effect on warrant markets. The study provides a theory and supported evidence that put warrants on individual stocks are issued by third party banks in Taiwan and that they...

Persistent link: https://www.econbiz.de/10011039079