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Citations for "Options and Efficiency"

by Ross, Stephen A

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  1. Chan, Leo & Lien, Donald, 2006. "Are options redundant? Further evidence from currency futures markets," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 179-188.
  2. John, Kose & John, Teresa A., 2006. "Managerial incentives, derivatives and stability," Journal of Financial Stability, Elsevier, vol. 2(1), pages 71-94, April.
  3. E. Jouini & P. -F. Koehl & N. Touzi, 1997. "Incomplete markets, transaction costs and liquidity effects," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 325-347.
  4. Ilya Molchanov & Michael Schmutz, 2009. "Exchangeability type properties of asset prices," Papers 0901.4914, arXiv.org, revised Apr 2011.
  5. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2010. "Neglected Risks, Financial Innovation, and Financial Fragility," NBER Working Papers 16068, National Bureau of Economic Research, Inc.
  6. Scholes, Myron S, 1998. "Derivatives in a Dynamic Environment," American Economic Review, American Economic Association, vol. 88(3), pages 350-70, June.
  7. Aliprantis, Charalambos D. & Tourky, Rabee, 2002. "Markets that don't replicate any option," Economics Letters, Elsevier, vol. 76(3), pages 443-447, August.
  8. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA.
  9. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  10. Stéphane Yen & Ming-Hsiang Chen, 2010. "Open interest, volume, and volatility: evidence from Taiwan futures markets," Journal of Economics and Finance, Springer, vol. 34(2), pages 113-141, April.
  11. Aliprantis, Charalambos D. & Florenzano, Monique & Tourky, Rabee, 2005. "Linear and non-linear price decentralization," Journal of Economic Theory, Elsevier, vol. 121(1), pages 51-74, March.
  12. Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
  13. Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2011. "A Model of Shadow Banking," Working Papers 576, Barcelona Graduate School of Economics.
  14. David A. Graham, 1977. "Cost-Benefit Analysis Under Uncertainty," NBER Working Papers 0194, National Bureau of Economic Research, Inc.
  15. Frank Milne & Dilip Madan, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Papers 1158, Queen's University, Department of Economics.
  16. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
  17. Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.
  18. Aliprantis, C. D. & Harris, David & Tourky, Rabee, 2004. "Riesz Estimators," Purdue University Economics Working Papers 1170, Purdue University, Department of Economics.
  19. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2012. "Put-Call Parity and Market Frictions," Working Papers 447, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  20. Frank Lehrbass, 1994. "Optimal hedging with currency forwards, calls, and calls on forwards for the competitive exporting firm facing exchange rate uncertainty," Journal of Economics, Springer, vol. 59(1), pages 51-70, February.
  21. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
  22. Dijkstra, Theo K. & Yao, Yong, 2002. "Moment generating function approach to pricing interest rate and foreign exchange rate claims," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 163-178, October.
  23. Kitsul, Yuriy & Wright, Jonathan H., 2013. "The economics of options-implied inflation probability density functions," Journal of Financial Economics, Elsevier, vol. 110(3), pages 696-711.
  24. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany.
  25. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers 2007-24, School of Economics and Management, University of Aarhus.
  26. Leonidas Tsiaras, 2010. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers 2010-34, School of Economics and Management, University of Aarhus.
  27. Mark A. Satterthwaite, 1979. "On the Scope of Stockholder Unanimity Theorems," Discussion Papers 368, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  28. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  29. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
  30. Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Incomplete Derivative Markets and Portfolio Insurance," Cowles Foundation Discussion Papers 1126R, Cowles Foundation for Research in Economics, Yale University.
  31. Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
  32. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
  33. Jingtang Ma & Dongya Deng & Harry Zheng, 2014. "A robust algorithm and convergence analysis for static replications of nonlinear payoffs," Papers 1406.5430, arXiv.org.
  34. Dimitris Bertsimas & Natasha Bushueva, 2006. "Option Pricing without Price Dynamics: A Probabilistic Approach," Papers math/0612075, arXiv.org.
  35. Ioannis Polyrakis & Foivos Xanthos, 2011. "Maximal submarkets that replicate any option," Annals of Finance, Springer, vol. 7(3), pages 407-423, August.
  36. Mark Cassano & Bing Han, 2008. "Option volume, strike distribution, and foreign exchange rate movements," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 49-67, January.
  37. Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2001. "Financial Innovation, Market Participation and Asset Prices," Harvard Institute of Economic Research Working Papers 1928, Harvard - Institute of Economic Research.
  38. Ho, Li-Chin Jennifer & Hassell, John M. & Swidler, Steve, 1995. "An empirical examination of the dispersion and accuracy of analyst forecasts surrounding option listing," Review of Financial Economics, Elsevier, vol. 4(2), pages 171-185.
  39. Dominique Achour & Robert Brown, 1984. "Un marche d'options sur indice de prix fonciers: nouvel instrument d'une politique de l'habitition. (With English summary.)," Canadian Public Policy, University of Toronto Press, vol. 10(3), pages 287-295, September.
  40. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  41. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.
  42. Mark Cassano, 2002. "Disagreement and equilibrium option trading volume," Review of Derivatives Research, Springer, vol. 5(2), pages 153-179, May.
  43. Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009. "Convertible bond arbitrage, liquidity externalities, and stock prices," Journal of Financial Economics, Elsevier, vol. 91(2), pages 227-251, February.
  44. Esqueda, Omar A. & Assefa, Tibebe A. & Mollick, André Varella, 2012. "Financial globalization and stock market risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 87-102.
  45. Mark A. Satterthwaite, 1977. "On Stockholder Unanimity Towards Changes in Production Plans," Discussion Papers 293, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  46. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier.
  47. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
  48. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2010. "O/S: The relative trading activity in options and stock," Journal of Financial Economics, Elsevier, vol. 96(1), pages 1-17, April.
  49. James Bergin, 1985. "The Use of Options in Generating and Pricing Return Streams," Discussion Papers 687, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  50. Thorsten Beck & Tao Chen & Chen Lin & Frank M. Song, 2012. "Financial Innovation: The Bright and the Dark Sides," Working Papers 052012, Hong Kong Institute for Monetary Research.
  51. Christos Kountzakis & Ioannis Polyrakis, 2006. "The completion of security markets," Decisions in Economics and Finance, Springer, vol. 29(1), pages 1-21, 05.
  52. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
  53. Michael Magill & Martine Quinzii, 2009. "The probability approach to general equilibrium with production," Economic Theory, Springer, vol. 39(1), pages 1-41, April.
  54. Galvani, Valentina, 2009. "Option spanning with exogenous information structure," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 73-79, January.
  55. George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
  56. Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che, 2014. "The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 123-133.
  57. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
  58. Galvani, Valentina & Troitsky, Vladimir G., 2010. "Options and efficiency in spaces of bounded claims," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 616-619, July.
  59. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
  60. S.Y. Wu & C.Z. Qin, 1996. "Pricing Derived Securities Under an Edgeworthian Process," Microeconomics 9603001, EconWPA.
  61. Bødskov Andersen, Allan & Wagener, Tom, 2002. "Extracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices," Working Paper Series 0198, European Central Bank.
  62. Gann, Philipp, 2009. "Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse," Discussion Papers in Business Administration 10582, University of Munich, Munich School of Management.
  63. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
  64. Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "Modeling and Simulation of an Artificial Stock Option Market," Computational Economics, Society for Computational Economics, vol. 32(1), pages 37-53, September.
  65. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group.
  66. Paris, Francesco M., 2005. "Selecting an optimal portfolio of consumer loans by applying the state preference approach," European Journal of Operational Research, Elsevier, vol. 163(1), pages 230-241, May.
  67. Michael Magill, 2000. "Equity, Options and Efficiency in the Presence of Moral Hazard," Econometric Society World Congress 2000 Contributed Papers 1845, Econometric Society.
  68. Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
  69. Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  70. Krebs, Tom, 2007. "Rational expectations equilibrium and the strategic choice of costly information," Journal of Mathematical Economics, Elsevier, vol. 43(5), pages 532-548, June.
  71. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA.
  72. Chaudhury, Mohammed & Elfakhami, Said, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, Elsevier, vol. 6(1), pages 57-75.
  73. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," NBER Working Papers 18046, National Bureau of Economic Research, Inc.
  74. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2009. "Options trading activity and firm valuation," Journal of Financial Economics, Elsevier, vol. 94(3), pages 345-360, December.
  75. Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila, 2011. "Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2011-03, University of Bayreuth, Chair of Finance and Banking.
  76. Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
  77. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 385-403, November.
  78. Amira, Khaled & Bennour, Khaled, 2010. "Borrowing Constraint and the Effect of Option Introduction," MPRA Paper 26440, University Library of Munich, Germany.
  79. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
  80. Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012. "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 423-450.
  81. Palan, Stefan, 2010. "Digital options and efficiency in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 75(3), pages 506-522, September.
  82. Platten, Isabelle & Gresse, Carole & De Winne, Rudy, 2009. "How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?," Economics Papers from University Paris Dauphine 123456789/2742, Paris Dauphine University.
  83. C. D. Aliprantis & D. Brown & J. Werner, 1999. "Minimum-Cost Portfolio Insurance," Discussion Paper Serie A 599, University of Bonn, Germany.
  84. Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008. "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, vol. 4(3), pages 345-367, July.
  85. Keith Sill, 1997. "The economic benefits and risks of derivative securities," Business Review, Federal Reserve Bank of Philadelphia, issue Jan, pages 15-26.
  86. Philippe Bertrand & Jean-luc Prigent, 2014. "Equilibrium of Financial Derivative Markets under Portfolio Insurance Constraints," Working Papers 2014-330, Department of Research, Ipag Business School.
  87. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-.
  88. Tomas Philipson, 1991. "Dynamic information release," Journal of Economics, Springer, vol. 53(2), pages 205-213, June.
  89. Henderson, Brian J. & Pearson, Neil D., 2011. "The dark side of financial innovation: A case study of the pricing of a retail financial product," Journal of Financial Economics, Elsevier, vol. 100(2), pages 227-247, May.
  90. Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
  91. Baptista, Alexandre M., 2003. "Spanning with American options," Journal of Economic Theory, Elsevier, vol. 110(2), pages 264-289, June.
  92. Hentschel, Ludger & Smith, Clifford Jr., 1997. "Derivatives regulation: Implications for central banks," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 305-346, October.
  93. Aloisio Araujo & Alain Chateauneuf & José Faro, 2012. "Pricing rules and Arrow–Debreu ambiguous valuation," Economic Theory, Springer, vol. 49(1), pages 1-35, January.