Sökning: "expiration-day effects"

Hittade 2 avhandlingar innehållade orden expiration-day effects.

1. 1. Essays on Derivatives and Liquidity

   Författare :Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

   Sammanfattning : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. LÄS MER

3. 2. Empirical essays on financial markets, firms, and derivatives

   Författare :Niclas Hagelin; Ingrid M. Werner; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial markets; Stock markets; Future markets; Options; Derivates; Hedging; Derivathandel; Business studies; Företagsekonomi; Business Administration; företagsekonomi;

   Sammanfattning : This thesis consists of five self-contained studies. The first three investigate the impact of derivatives on the markets for the underlying assets, while the other two examine how and why firms use derivatives. A summary of each of the five studies follows. LÄS MER