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Options and Options Pricing

Hendrik S. Houthakker and Peter J. Williamson

in The Economics of Financial Markets

Published in print:
1996
Published Online:
November 2003
ISBN:
9780195044072
eISBN:
9780199832958
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019504407X.003.0008
Subject:
Economics and Finance, Financial Economics

The first section of this chapter discusses the basic features of option contracts, with special reference to stock options, including the way in which the contractual elements of an option (such as ... More


Estimating the Implied Risk‐Neutral Density for the US Market Portfolio *

Stephen Figlewski

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0015
Subject:
Economics and Finance, Econometrics

This chapter presents a new methodology for extracting complete well-behaved risk-neutral density (RND) functions from options market prices, and illustrates the potential of this tool for ... More


Option and Anticipatory Values of US Wilderness

Richard G. Walsh and John R. McKean

in Valuing Environmental Preferences: Theory and Practice of the Contingent Valuation Method in the US, EU , and developing Countries

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248919
eISBN:
9780191595950
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248915.003.0014
Subject:
Economics and Finance, Development, Growth, and Environmental

The concept of an option is extended to an access right, and behavioural consequences of the concept and its economic significance is mapped out. An ex ante model of the planned expenditure function ... More


VALUATION OF CONTINGENT CLAIMS: EXTENSIONS

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0004
Subject:
Economics and Finance, Financial Economics

‘Valuation of Contingent Claims: Extensions’ extends the analysis in Ch. 3 to contingent claims on assets with non-lognormal distributions, for example, normal distributions, as in the Brennan ... More


FORWARD AND FUTURES PRICES OF CONTINGENT CLAIMS

Ser-Huang Poon and Richard Stapleton

in Asset Pricing in Discrete Time: A Complete Markets Approach

Published in print:
2005
Published Online:
July 2005
ISBN:
9780199271443
eISBN:
9780191602559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271445.003.0006
Subject:
Economics and Finance, Financial Economics

‘Forward and Futures Prices of Contingent Claims’ applies the multi-period rational expectations model to analyse the pricing of forward and futures contracts and derives an expression for the ... More


Random Sets in Finance and Econometrics

Ilya Molchanov

in New Perspectives in Stochastic Geometry

Published in print:
2009
Published Online:
February 2010
ISBN:
9780199232574
eISBN:
9780191716393
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199232574.003.0017
Subject:
Mathematics, Geometry / Topology

This chapter surveys several examples where random sets appear in mathematical finance and econometrics: trading with transaction costs, risk measures, option prices, and partially identified ... More


Doubt, Doubts, and Doubters: The Genesis of a New Research Agenda?

Kevin J. Boyle and John C. Bergstrom

in Valuing Environmental Preferences: Theory and Practice of the Contingent Valuation Method in the US, EU , and developing Countries

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248919
eISBN:
9780191595950
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248915.003.0007
Subject:
Economics and Finance, Development, Growth, and Environmental

The controversy surrounding contingent valuation following the Exxon Valdez disaster and the NOAA Panel report suggests the need for improved CV study designs. Three issues are of importance in CV ... More


The Measurement and Management of Interest Rate Risk

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0012
Subject:
Economics and Finance, Financial Economics

The values of bonds and other fixed income securities vary over time primarily due to changes in the term structure of interest rates. Most investors want to measure and compare the sensitivities of ... More


How Are Markets Constructed?

Paul Edwards and Judy Wajcman

in The Politics of Working Life

Published in print:
2005
Published Online:
October 2011
ISBN:
9780199271900
eISBN:
9780191699559
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199271900.003.0009
Subject:
Business and Management, HRM / IR, Organization Studies

The market is perhaps the core institution of capitalism. It is the means through which goods and services are exchanged and prices are determined. The language of supply and demand is universal, and ... More


Pricing Options

Donald MacKenzie

in An Engine, Not a Camera: How Financial Models Shape Markets

Published in print:
2006
Published Online:
August 2013
ISBN:
9780262134606
eISBN:
9780262278805
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262134606.003.0005
Subject:
Society and Culture, Technology and Society

This chapter focuses on examining the significance and role of pricing options for stocks in stock markets in the United States, and finds that many economists and financial researchers developed ... More


Financial Knowledge and the Science of the Market

Alex Preda

in Framing Finance: The Boundaries of Markets and Modern Capitalism

Published in print:
2009
Published Online:
February 2013
ISBN:
9780226679310
eISBN:
9780226679334
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226679334.003.0004
Subject:
Sociology, Culture

This chapter examines the emergence and consequences of a vernacular “science of financial investments.” While many eighteenth-century writers saw financial knowledge as devilish and destructive ... More


Pricing of Deposit Insurance

Luc Laeven

in Deposit Insurance around the World: Issues of Design and Implementation

Published in print:
2008
Published Online:
August 2013
ISBN:
9780262042543
eISBN:
9780262271462
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262042543.003.0003
Subject:
Economics and Finance, Econometrics

This chapter performs an investigation on how the price of deposit insurance is affected by design features of deposit insurance schemes. It answers certain questions as to the definition of a fair ... More


Options

Alan N. Rechtschaffen

in Capital Markets, Derivatives, and the Law: Positivity and Preparation

Published in print:
2019
Published Online:
May 2019
ISBN:
9780190879631
eISBN:
9780190879662
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190879631.003.0013
Subject:
Law, Company and Commercial Law

An option is a derivative that derives its value from another underlying asset, instrument, or index. Options “transfer the right but not the obligation to buy or sell the underlying asset, ... More


Options

Alan N. Rechtschaffen

in Capital Markets, Derivatives and the Law: Evolution After Crisis

Published in print:
2014
Published Online:
May 2014
ISBN:
9780199971541
eISBN:
9780199361458
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199971541.003.0010
Subject:
Law, Company and Commercial Law

An option is a type of derivative. It transfers the right, but not the obligation, to buy or sell the underlying asset, instrument, or index at a specified price, known as the strike price, at some ... More


Dynamic Hedging

Hyun Song Shin

in Risk and Liquidity

Published in print:
2019
Published Online:
October 2019
ISBN:
9780198847069
eISBN:
9780191884313
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198847069.003.0004
Subject:
Economics and Finance, Financial Economics

Dynamic hedging can replicate the payoffs of state-contingent assets such as options. Delta hedging aligns the portfolio of risky and safe assets in line with the delta of the option. However, when ... More


Real-Estate Derivatives Models

Radu S. Tunaru

in Real-Estate Derivatives: From Econometrics to Financial Engineering

Published in print:
2017
Published Online:
May 2017
ISBN:
9780198742920
eISBN:
9780191802874
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198742920.003.0007
Subject:
Economics and Finance, Econometrics, Financial Economics

This chapter describes some of the best models proposed in relation to realestate derivatives. They range from equilibrium models such as Geltner- Fisher and Cao-Wei to no-arbitrage models such as ... More


Introduction

Roi Wagner

in Making and Breaking Mathematical Sense: Histories and Philosophies of Mathematical Practice

Published in print:
2017
Published Online:
January 2018
ISBN:
9780691171715
eISBN:
9781400883783
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691171715.003.0001
Subject:
Mathematics, History of Mathematics

This book examines the force of mathematics, what this force builds on, and how it works in practice by discussing mathematics not only from the point of view of applications but also from the point ... More


Prepayment and Default Risk

Stephen L. Buschbom, James B. Kau, and Donald C. Keenan

in Public Real Estate Markets and Investments

Published in print:
2014
Published Online:
September 2014
ISBN:
9780199993277
eISBN:
9780199395767
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199993277.003.0008
Subject:
Economics and Finance, Financial Economics

This chapter provides an introduction to structural and reduced form modeling of mortgage termination. The theory and functional form for each model is discussed as well as empirical results. ... More


New Applications Across Disciplines

Amos Golan

in Foundations of Info-Metrics: Modeling, Inference, and Imperfect Information

Published in print:
2017
Published Online:
November 2017
ISBN:
9780199349524
eISBN:
9780199349555
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780199349524.003.0014
Subject:
Economics and Finance, Econometrics

In this chapter I provide four detailed, cross-disciplinary case studies, developed for this book. The case studies are from the medical sciences, political science, and finance. In each case, I ... More


Liability Insurance and Guarantees

Hal S. Scott

in Connectedness and Contagion: Protecting the Financial System from Panics

Published in print:
2016
Published Online:
January 2017
ISBN:
9780262034371
eISBN:
9780262332156
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262034371.003.0012
Subject:
Economics and Finance, Economic History

The Dodd–Frank Act not only cut back on the Fed's ability to serve as lender of last resort, it also cut back on the Federal Deposit Insurance Corporation's (FDIC) ability to expand deposit insurance ... More


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