Iestimate the value of the option on the December S P 500 futurescontract during the market crash in October 1987 to illustrate thetechnique. For the first half of the month the value of theperformance guarantee was fairly priced. On the day of the crash itwas underpriced by as much as ...
SDP presents some advantages and disadvantages with respect to the binomial tree and finite differences, and stands as a viable alternative to these classic numerical methodologies for option valuation. Our empirical investigation, which focuses on American options on the S&P 500 futures contract, is ...
•Futures •Developing Countries Mechanism of Markets Week 3 ~ 7 Week 9~11 Week 2 13.3 The Black-Scholes Random Walk AssumptionConsider a stock whose price is SIn a short period of time of length ∆t the return on the stock (∆S/S) is assumed to ...
Futures and forward markets have deflected demand from physical metal, a situation that depends on confidence in the dollar as a stable currency being maintained. Only a marginal shift away from paper towards physical gold will undermine the whole paper-gold system. The journey to the next credit...
An Asian option is a special type of option contract in which the payoff is determined by the average underlying price over some prescribed time. There will be some benefits to trading Asian options in a financial environment. One advantage of Asian options is that these decrease the risk of ...
Futures Trust, on behalf of the Scottish Government, is another initiative towards long-term arrangements for community and social infrastructure. This initiative brings together the public sector with Hubco, a public/private joint venture, to deliver new facilities (Amber Infrastructure,2017) (Fig.4...
floating-rate paymentfixed-rate paymentswap ratereference ratenotional amountEurodollar futures contractforward discount factorperiod forward rateGerald W. BuetowBFRC Services, LLCFrank J. FabozziPractice of Finance, Yale School of ManagementAmerican Cancer Society...
Futures marketsPower derivativesAs a result of storability restrictions, the price risk management of flow commodities (such as natural gas, oil, and electrical power) is by no means a trivial matter.To protect price spikes, consumers purchase diverse swing-type contracts, whereas contract writers ...
Futures contracts written on the loss ratios of preselected pools of catastrophe insurance contracts--aptly named catastrophe insurance futures and commonly known as CATS contracts--represent one of a number of new insurance-based financial instruments introduced, together with their respective put and ...
From the cash flow analysis of a swap, the swap rate is determined. Keywords: interest rate swap; floating-rate payment; fixed-rate payment; swap rate; reference rate; notional amount; Eurodollar futures contract; forward discount factor; period forward rate...