Derivatives , Pricing Efficiency and Gharar : Evidence on Embedded Options in Malaysia
نویسندگان
چکیده
منابع مشابه
The Pricing of Embedded Options in Real Estate Lease Contracts
Leases and rental agreements often have options attached or embedded in them. These options sometimes depend on a number of economic variables such as the Consumer Price Index (CPI), a real estate index and/or the value of real estate underlying the agreement. The evaluation of these options often involves the solution or approximation to a partial differential equation (PDE). This study analyz...
متن کاملPricing Options Using Implied Trees: Evidence from Ftse-100 Options
of High Performance Computing are gratefully acknowledged. The authors also wish to thank the two referees for their insightful comments that helped to improve the this article in significant ways. MATLAB (a mathematical, financial, and statistical software language) was used for the programming throughout the study. *Correspondence author, School of Business, Singapore Management University, 4...
متن کاملAsset pricing puzzles: Evidence from options markets
This paper examines the relationship between consumption-based and option-based risk-neutral moments, providing a technique to explore consumption-based pricing kernel specifications using data from the options markets. Estimators for average risk-neutral moments of each type are proposed and implemented. Option-based average risk-neutral moments are estimated for S&P500 returns using S&P500 fu...
متن کاملAmerican Options under Stochastic Volatility: Parameter Estimation and Pricing Efficiency
We consider American option pricing in the context of the widely adopted stochastic volatility model of Heston (1993). While estimating such model is challenging, we develop a pricing technique that is both efficiently accurate and robust with respect to estimates of spot and equilibrium volatilities. Our approach is based on a well-developed and efficient procedure for the constant volatility ...
متن کاملPricing and Informational Efficiency of the MIB30 Index Options
We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We report that a striking percentage of the data consists of option prices violating basic no-arbitrage conditions. This percentage declines when we relax the no-arbitrage restrictions to accommodate for the presence of bid/ask spreads and other frictions, ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Islamic Finance
سال: 2014
ISSN: 2289-2109
DOI: 10.12816/0025104