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Author: George W. Kutner Publisher: ISBN: Category : Languages : en Pages :
Book Description
We extend the quadratic approximation method to examine American-style options traded using futures-style margining and show that an early exercise premium can exist when the cost of carry is negative. Empirical results based on a reduced form of the model using futures-style call options traded on the Australian All Ordinaries Share Price Index, are consistent with previous research - call option early exercise premiums are economically zero. Full option prices are examined by comparing observed futures-style with theoretical stock-style values. We find futures-style exceed stock-style values and argue that the increase results from improvements in liquidity. The findings are particularly relevant given the pending decision at the Commodity Futures Trading Commission to introduce a futures-style system in the United States.
Author: George W. Kutner Publisher: ISBN: Category : Languages : en Pages :
Book Description
We extend the quadratic approximation method to examine American-style options traded using futures-style margining and show that an early exercise premium can exist when the cost of carry is negative. Empirical results based on a reduced form of the model using futures-style call options traded on the Australian All Ordinaries Share Price Index, are consistent with previous research - call option early exercise premiums are economically zero. Full option prices are examined by comparing observed futures-style with theoretical stock-style values. We find futures-style exceed stock-style values and argue that the increase results from improvements in liquidity. The findings are particularly relevant given the pending decision at the Commodity Futures Trading Commission to introduce a futures-style system in the United States.
Author: Alan White Publisher: Routledge ISBN: 1135687897 Category : Business & Economics Languages : en Pages : 224
Book Description
This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.
Author: Tom James Publisher: John Wiley & Sons ISBN: 1118580478 Category : Business & Economics Languages : en Pages : 374
Book Description
Price Risk Management and Trading. Energy risk management expert, Tom James, does it again. His latest book is a timely addition to the rapidly developing energy trading markets. This book should be on every energy trader, risk manager and corporate planer's desk. it is an easy read as Tom goes into great detail to explain the intricacies of this market and its various unique elements. - Peter C. Fusaro, Chairman, Global Change Associates Inc., Best-selling Author and Energy Expert This sensible and practical guide is essential for those seeking an understanding of commerce in energy derivatives. beyond merely informative, this hand book for the practitioner details the finer points of the use of derivatives as tools for price-risk management. No energy trading desk should be without it. - Ethan L. Cohen, Senior Director, Utility and Energy Technology, UtiliPoint International Inc. Energy markets are much more volatile than other commodity markets, so risk mitigation is more of a concern. Energy prices, for example, can be affected by weather, geopo9litical turmoil, changes in tax and legal systems, OPEC decisions, analysis' reports, transportation issues, and supply and demand - to name just a few factors. Tom James's book is a practical guide to assessing and managing these risks. It is a must-read for senior management as well as risk and financial professionals.- Don Stowers, Editor, Oil & Gas Financial Journal This book is the most comprehensive on price risk management-centric efforts. It provides the reader with a tangible experience of derivatives in today's capital and energy markets. The breadth and scope of the passages are immense, in that both developed and developing countries' energy markets are considered and examples applied. Terrific read! - Rashpal Bhatti, Marketing Manager, Energy Trading Asia, Enron/BHP Billiton Tom James has simplified the intricacies of a very complex market. In this new market of "hot" commodities, he has been able to give a fresh course to those who are new to the energy markets and a solid review for those that are well seasoned. he covers everything within the oil market from A to Z in this book and does it well. Coming from a financial background myself, it's good to finally find a book that can bring a better understanding to the field of energy commodities. - Carl Larry, Vice President Citi Energy Global Commodities
Author: T. James Publisher: Springer ISBN: 1403946043 Category : Business & Economics Languages : en Pages : 553
Book Description
Energy Price Risk was inspired by the success of the courses Tom James has been running in global energy and commodities trading and price risk management. It is the practitioner's guide to optimizing company performance using the correct price risk strategies and tools. Based on the author's extensive experience in the commodity derivatives industry, it comprehensively covers the full spectrum of the energy complex, including crude oil, petroleum products, natural gas, LPG/LNG and electricity. Using many worked examples, this book offers practical insights and solutions.
Author: United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry Publisher: ISBN: Category : Business & Economics Languages : en Pages : 868
Author: United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry Publisher: ISBN: Category : Business & Economics Languages : en Pages : 168
Author: George W. Kutner
Author: George W. Kutner
Author: Alan White
Author: C. Gavin O'Neill
Author: 
Author: 
Author: Tom James
Author: T. James
Author: United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry
Author: United States. Congress. House. Committee on Ways and Means
Author: United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry