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The reaction of bank stock prices to news of derivatives losses by corporate clients
Sinkey, Joseph F.; Carter, David A. - In: Journal of banking & finance 23 (1999) 12, pp. 1725-1745
Persistent link: https://www.econbiz.de/10001428987
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Derivatives in US banking : theory, practice, and empirical evidence
Sinkey, Joseph F. - In: Derivatives, regulation and banking, (pp. 41-78). 1997
Persistent link: https://www.econbiz.de/10001324744
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Evidence on the financial characteristics of banks that do and do not use derivatives
Sinkey, Joseph F.; Carter, David A. - In: The quarterly review of economics and finance : journal … 40 (2000) 4, pp. 431-449
Persistent link: https://www.econbiz.de/10001524235
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Managerial incentices and the use of foreign-exchange derivatives by banks
Adkins, Lee Chester; Carter, David A.; Simpson, W. Gary - In: The journal of financial research 30 (2007) 3, pp. 399-413
Persistent link: https://www.econbiz.de/10003536989
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Pricings and hedgings of the perpetual Russian options
Li, Weiping; Chen, Su - In: Journal of financial engineering 1 (2014) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010508090
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A bias in the volatility smile
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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The early exercise premium in American options by using nonparametric regressions
Li, Weiping; Chen, Su - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10011956935
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Pricings and Hedgings of the Perpetual Russian Options
Li, Weiping - 2011
In this paper, we study the optimal stopping time and the optimal stopping boundary for the perpetual Russian option under the diffusion process. The general continuation region is characterized by a function b(p; t) depending on both variables t and the maximum value of the stock and initial...
Persistent link: https://www.econbiz.de/10013119399