Time variation in the tail behavior of Bund future returns
Article Abstract:
The presence of heavy tails in the distribution of Bund future returns is examined and it is found that thin tails are present in the distribution of low-frequency returns of the Bund future while daily data has heavy tails. The tail index contains important information for financial market risk assessment beyond that captured in standard volatility measures.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Knock-in American options
Article Abstract:
Analytic price formulas, which posses different analytic representations, for knock-in American options under the Black-Scholes pricing framework are presented. Also, to illustrate the efficacy of the price formulas, numerical valuations are performed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
User Contributions:
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