What type of process underlies options? A simple robust test
Article Abstract:
The authors present a method to determine continuous and discontinuous components within an underlying asset price, using prices of out-of-the-money and at-the-money options as its time-to-maturity moves towards zero. This approach is applied to the Standard & Poor's 500 index; results are discussed.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
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Electricity forward prices: a high-frequency empirical analysis
Article Abstract:
An empirical study is conducted on the forward prices of PJM electricity market, the Pennsylvania-Jersey-Maryland Independent System Operator of the US electrical power grid.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
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Are judgment errors reflected in market prices and allocations? Experimental evidence based on the Monty Hall problem
Article Abstract:
Empirical analysis of Monty Hall puzzle, which is used to study the impact of group decision making on market prices, is presented.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
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