Canonical valuation and hedging of index options
Article Abstract:
The utility of Canonical valuation techniques to determine the prices of index options in options exchanges is discussed. The trends of the application of these techniques by stockbrokers to determine hedge ratios are described.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
Analysis, Evaluation, Options (Finance), Hedging (Finance), Options exchanges
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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The disappearing January/turn of the year effect: evidence from the stock index futures and cash markets
Article Abstract:
The effect of the turn of the year on cash indices and futures is slowly the diminishing. The returns on stocks are high on the last trading day in December and low on the first trading day of the following year.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
Stock price indexes
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Subjects list: United States, Forecasts and trends, Market trend/market analysis
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