Failure Is an Option: Impediments to Short Selling and Options Prices
نویسندگان
چکیده
منابع مشابه
Failure is an Option:
A regulatory advantage of options market-makers significantly weakens the link between short sales and equity loans. Their advantage is an option to fail to deliver shares, created by their ability to sell short without first identifying a lender. Two years of transactions by a major market-maker shows failed deliveries in half the hard-to-borrow situations, and not a single negative-rebate loa...
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Contracts often take the form of options: oil fields can be abandoned, planning permission may go unused, and acquired firms can be liquidated. We consider a seller who auctions a dynamic option among N agents. After the auction, the economy evolves and the winning bidder chooses both if and when to execute the option. The revenue-maximising auction consists of an up-front bid and a contingent ...
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In this paper, I develop an option-pricing model that formally incorporates a disclosure event. The model suggests that an understanding of a firm’s disclosure policies can aid in effi ciently pricing its options. The reason is that these policies impact the distributions of jumps in the firm’s equity price, which affect the expected payoff to the firm’s options. Specifically, I find that 1) mo...
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A wide variety of enhancements to the Internet architecture have been proposed over the past several years, many of which require attaching metadata, or state, to packets as they flow through the network. Examples of such extensions are IP traceback[10] and XCP[6]. The IP specification supports an “options” mechanism as an extensible way to couple state with packets. However, as we will show in...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2008
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhm083