Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons

Article Abstract:

Empirical studies on currencies and stock indices reveal that options traders did not anticipate the market crash of 1987. Studies show that the US market experienced left-skewness of volatility smiles after the crash while smiles on UK index options remained the same. This is attributed to a gap between US and UK markets in understanding what causes the changes in the smiles. Further research is needed to determine why put implied volatilities exceed call volatilities and what causes the gap between observed and implied volatility.

United Kingdom, United States, Securities

---

A note on the valuation of an exotic timing option

Article Abstract:

An exotic timing option entitles a person during payoff to have the difference between the maximum value of the underlying asset during the option's life and the initial asset value. This policy allows its holder not to have a less than zero value with regards to maximum value maturity due to the fact that the highest asset price during option's life is always higher than the initial asset value.

Stock Options, Asset & Risk Management, Management, Executive compensation

---

Pricing American exchange options in a jump-diffusion model

Article Abstract:

The development of a jump-diffusion model for the evaluation of American exchange options is described. The application of the Richardson extrapolation technique, to combine European and Bermudan exchange options with different exercise dates, is described in this context.

Norway, Usage, Econometric models

Similar abstracts:

• Abstracts: Interfirm competition for human resources: Evidence from the software industry
• Abstracts: The evolution of a local R&D strategy: the experience of a service in the UK National Health Service (NHS). The developmental path of networking capability of catch-up players in Korea's semiconductor industry
• Abstracts: The role of innovation characteristics and perceived voluntariness in the acceptance of information technologies
• Abstracts: Use and impact of direct mail in the context of integrated marketing communications: U.S. congressional campaigns in 1982 and 1990
• Abstracts: A two-dimensional perspective on attractive quality. Robust design methodology in a generic product design process

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.