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Valuation of complex financial instruments via basic components

Cheung, Joseph K.; Chung, Richard - In: Review of quantitative finance and accounting 7 (1996) 2, pp. 163-176

Persistent link: https://www.econbiz.de/10001467552

Alternative specifications of the errors in the Black-Scholes option pricing model and various implied variance formulas

Rahman, Abdul H. - In: Economics letters 21 (1986) 1, pp. 61-65

Persistent link: https://www.econbiz.de/10001014753

Futures market equilibrium with heterogeneity and a spot market at harvest

Fouda, Henri; Kryzanowski, Lawrence; To, Minh-chau - In: Journal of economic dynamics & control 25 (2001) 5, pp. 805-824

Persistent link: https://www.econbiz.de/10001561693

Financial oligopolies and parallel exclusion in the credit default swap markets

Kryzanowski, Lawrence; Perrakis, Stylianos; Zhong, Rui - In: Journal of financial markets 56 (2021), pp. 1-28

Persistent link: https://www.econbiz.de/10013282502

Derivatives, short selling and US equity and bond mutual funds

Dezfouli, Kaveh Moradi; Kryzanowski, Lawrence - In: The quarterly journal of finance 6 (2016) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10011452388

Financial Oligopolies : Theory and Empirical Evidence in the Credit Default Swap Markets

Kryzanowski, Lawrence - 2017

We formulate a Cournot-type market equilibrium model of simultaneous trading in the CDS and Loan CDS (LCDS) markets. We use novel formulations of two-market demand functions that include trading costs and margins. The equilibrium identifies a relation between premiums, elasticities and recovery...

Persistent link: https://www.econbiz.de/10012974399

Financial Oligopolies : Theory and Empirical Evidence in the Credit Default Swap Markets

Kryzanowski, Lawrence - 2017

Persistent link: https://www.econbiz.de/10012943722