The simulation of option prices with application to LIFFE options on futures

Article Abstract:

A framework that reflects the behavior of options prices from Black and Scholes prices was developed. London International Financial Options and Futures Exchange options on German government bond futures were used to develop the framework, which enabled the generation of prices dependent on different types of no-arbitrage constraints, asymmetries between over- and underpricing, and asymmetries between puts and calls. Data shows that the model could be applied to stock options but has no direct relation to GARCH-based option pricing models.

Miscellaneous Intermediation, Exchanges ex Securities & Commodities, Models, Exchanges, Options (Finance), Government securities

---

Stock index futures arbitrage in Finland: theory and evidence in a new market

Article Abstract:

Stock index futures contracts on the Finnish stock market are apparently underpriced. Trading of the futures contracts has primarily been carried out at their theoretical arbitrage-implied price. Arbitrage profits would rise, however, through continued underpricing as delayed and early unwindings would have implied value. The underpricing is mainly due to the lack of an institutional framework in Finland for short selling of stocks. Existing stock owners have apparently not commenced large-scale trading on Finland's futures market.

Finland, Arbitrage, Stock index futures

---

Price limits and capital requirements of future clearinghouses

Article Abstract:

The default risk exposure and the average capital requirements of a futures clearinghouse is estimated using an option pricing model. The model will estimate the capital requirements for a clearing house associated with the Winnipeg Commodity Exchange, a commodity futures market with daily price limits on future prices.

United States, Securities and Commodity Exchanges, Financial Transactions Processing, Reserve, and Clearinghouse Activities, Commodity & service prices, Commodity Exchanges, Security & commodity services, not elsewhere classified, Clearing Organizations, Analysis, Evaluation, Price control, Price regulations, Company pricing policy, Securities clearinghouses, Clearing of securities

Similar abstracts:

• Abstracts: An investigation of the use of goal programming to fit response surfaces. Algebraic languages for mathematical programming
• Abstracts: Interdicting the activities of a linear program - a parametric analysis. Dual of the sum of a linear and linear fractional program
• Abstracts: Safety stocks in multi-stage inventory systems under different service measures. Models for evaluating the performance of serial and assembly MRP systems

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