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Bid–ask spread and liquidity searching behaviour of informed investors in option markets
(Elsevier, 2018-06)
We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne ...
An Empirical Analysis of Payout Policy and Option Expensing.
(Centro de Investigaciones Comerciales e Iniciativas Académicas de la Facultad de Administración de Empresas. Forum Empresarial. Vol.14 Num.1, 2010)
Alternativas al uso de stock options como forma de compensación. Stock options, stock grants, restricted stock, performance shares, ESOP, ESPP, employee ownership, "out of the money"
(Universidad de San Andrés. Escuela de Administración y Negocios, 2005)
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior ...
Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests
(Elsevier, 2014)
We examine whether the dynamics of the implied volatility surface of individual equity options contains
exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning
behavior ...
Option pricing under multiscale stochastic volatility
(2015)
The stochastic volatility model proposed by Fouque, Papanicolaou, and Sircar (2000) explores a fast and a slow time-scale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...
Modelo práctico involucrando opciones reales en adquisiciones de empresas
(Universidad IcesiFacultad de Ciencias Administrativas y Económicas, 2014-01-01)
This work makes a brief description of the real option theory (from its relation with
financial options to its application in the field of strategy and acquisitions) and proposes an
acquisition model with acquisition and ...