DSpace collection: 期刊論文

Price limits, margin requirements, and default risk

Tue, 06 Jul 2010 09:42:39 GMT

title: Price limits, margin requirements, and default risk abstract: This article investigates whether price limits can reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract by considering one more period beyond Brennan's (1986) model to take into account the spillover of

A binomial option pricing model under stochastic volatility and jump

Tue, 06 Jul 2010 09:42:38 GMT

title: A binomial option pricing model under stochastic volatility and jump abstract: Numerous papers have investigated the pricing of options on traded assets when either the underlying asset follows a jump diffusion process or the volatility of the underlying asset is assumed to be stochastic. This paper extends the literature by combini

The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange

Tue, 06 Jul 2010 09:42:36 GMT

title: The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange abstract: Both the Singapore Exchange (SGX) and the Taiwan Futures Exchange (TAIFEX) offer future contracts based on Taiwan's stock-market indices. TAIFEX reduced the transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. Hence, empirical tests are

The binomial Black-Scholes model and the Greeks

Tue, 06 Jul 2010 09:42:34 GMT

title: The binomial Black-Scholes model and the Greeks abstract: This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this st