The measurement of risks associated with options is a complex business for a number of reasons. Firstly, option prices … underlying security or changes in interest rates are just some examples of these factors affecting risk measurement. Another …. The nature of the risks involved in options are clarified in order to help assess whether the various capital adequacy …

announcements and use at-the-money options to exploit their informational advantage. In the post-event period, however, informed … option investors trade by using deep-out-of-the-money and out-of-the-money options. We documented limited evidence on the …

of options on a non-dividend-paying stock. Specific EFBBDFs of order 2 and 4 are applied to solve the PDE after reducing … options, we elect to focus on the put due to its optimality. …

In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …

-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …

Supplementing a finite state-space static securities market with options obtains market completeness. This study … concludes that options maintain the same spanning power in the space of bounded payoff topologized by its duality with the space …

implicites dans le prix des options; les VaR sont également vérifiées et comparées. …

options and new model-free option implied variation measures explicitly designed to separate the tail probabilities. At a …

international commodity prices. This paper examines the use of commodity options, including plain vanilla, risk reversal, and … barrier options, to hedge such risks. It then proposes the use of a new structured product, a sovereign Eurobond with an …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …