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Price Uncertainty and Derivative Securities in a General Equilibrium Model

Chichilnisky, Graciela; Dutta, Jayasri; Heal, Geoffrey - 1992

the equilibrium price vector. Such price-contingent contracts allow agents to insure fully against the risk stemming from …

Persistent link: https://www.econbiz.de/10009472288

Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

Lin, Cheng-I Eric - 2007

When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks....

Persistent link: https://www.econbiz.de/10009475070

Crude oil and crude oil derivatives transactions by oil and gas producers.

Xu, He - 2007

shareholders' wealth. With these two major goals in mind, I study the risk and return profile of crude oil, the value effect of … crude oil derivatives transactions, and the systematic risk exposure effect of crude oil derivatives transactions. In … contrast with previous studies, this study applies the Goldman Sachs Commodity Index (GSCI) methodology to measure the risk and …

Persistent link: https://www.econbiz.de/10009475072

Interest rate model theory with reference to the South African market

Van Wijck, Tjaart - 2006

An overview of modern and historical interest rate model theory is given with thespecific aim of derivative pricing. A variety of stochastic interest rate models arediscussed within a South African market context. The various models arecompared with respect to characteristics such as mean...

Persistent link: https://www.econbiz.de/10009442156

Aspects of some exotic options

Theron, Nadia - 2007

high-leverage approach to trading that can significantly limit the overall risk of a trade, or provide additional income …

Persistent link: https://www.econbiz.de/10009442181

An investigation into the reasons for the pricing differences betweeen a warrant and an option on the same stock in the South African derivatives market

Jordaan, F. Y.; Van Rooyen, J. H. - 2010

This study set out to draw a pricing comparison between two similar contracts in the South African derivatives market. These contracts, a normal option and a warrant on the same underlying stock are considered. The research shows that although the two derivatives are the same in all respects,...

Persistent link: https://www.econbiz.de/10009442277

Synthetic repurchase programs through put derivatives: theory and evidence

Gyoshev, Stanley Bojidarov - 2002

A Synthetic Repurchase is an open market share repurchase program enhanced with sales of put derivatives on the firm’s own stock. Microsoft, in 1999, using a synthetic repurchase program sold put derivatives on its own stock and received $766 million in premiums and, at the same time, signaled...

Persistent link: https://www.econbiz.de/10009451020

An analysis of risk premia in U.S. farm-level interest rates.

Goodwin, B.K.; Mishra, A.K. - 2000

Much farm financial risk research has involved the application of "credit-scoring" models. We approach the issue of … measuring financial risk by using the actual interest rates charged on agricultural loans reported in the USDA's ARMS survey as … market-based measures of the financial risk associated with individual farm operations. A simultaneous equations model …

Persistent link: https://www.econbiz.de/10009429486

Distribution of aflatoxin in pistachios. 6. Seller's and buyer's risk.

Schatzki, T.F.; deKoe, W.J. - 1999

The seller's risk - - the probability of a set of samples exceeding an agreed upon aflatoxin level when the lot mean … does not - - and the buyer's risk - - the probability of a lot exceeding this level when a set of samples do not - - have … samples up to 250 kg and for varied lot aflatoxin levels. It is found that within this sample size range the seller's risk is …

Persistent link: https://www.econbiz.de/10009429543

The Association Between the Level of International Diversification and Risk

Goldberg, Stephen R.; Heflin, Frank L. - 1993

This study analyzes the association between the degree of international involvement (DOI) and risk. Both systematic … risk (measured by the market model beta) and total rishk (measured by variance of return) are analyzed. Betas of fully … deverase as DOI increases (hypothesis). While total risk might be decreased due to the diversification provided by increasing …

Persistent link: https://www.econbiz.de/10009430695