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Derivatives and bank regulation

Chen, Andrew H. - In: Pacific-Basin finance journal 5 (1997) 2, pp. 157-165

Persistent link: https://www.econbiz.de/10001336874

Hedging pressure and delivery risk explanations of futures risk premia

Roongsangmanoon, Charnwut; Chen, Andrew H.; Kang, Joseph C. - In: Research in finance 25 (2009), pp. 303-331

Persistent link: https://www.econbiz.de/10009306651

Extending the real options approach by including information options

Chen, Andrew H.; Conover, James A.; Kensinger, John W. - In: Research in finance 30 (2014), pp. 53-93

Persistent link: https://www.econbiz.de/10010406337

A model for convexity-based cross-hedges with treasury futures

Chen, Andrew H.; Kang, Joseph C.; Yang, Baochen - In: The journal of fixed income 15 (2005) 3, pp. 68-79

Persistent link: https://www.econbiz.de/10003303950

Options to choose among the most profitable of several states in the physical realm and the information realm

Chen, Andrew H.; Conover, James A.; Kensinger, John W. - In: Research in finance 33 (2018), pp. 105-121

Persistent link: https://www.econbiz.de/10012227943

Hedging pressure and delivery risk explanations of futures risk premia

Roongsangmanoon, Charnwut; Chen, Andrew H.; Kang, Joseph; … - In: Research in finance, (pp. 303-331). 2009

Empirical evidence of the hedging pressure risk premium exists only in the futures contracts with delivery-related options. Since hedging pressure is supposed to exist for all futures contracts, the empirical evidence raises an interesting empirical question: whether the hedging pressure risk...

Persistent link: https://www.econbiz.de/10015382692