Article Abstract:
A framework that reflects the behavior of options prices from Black and Scholes prices was developed. London International Financial Options and Futures Exchange options on German government bond futures were used to develop the framework, which enabled the generation of prices dependent on different types of no-arbitrage constraints, asymmetries between over- and underpricing, and asymmetries between puts and calls. Data shows that the model could be applied to stock options but has no direct relation to GARCH-based option pricing models.
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Article Abstract:
Stock index futures contracts on the Finnish stock market are apparently underpriced. Trading of the futures contracts has primarily been carried out at their theoretical arbitrage-implied price. Arbitrage profits would rise, however, through continued underpricing as delayed and early unwindings would have implied value. The underpricing is mainly due to the lack of an institutional framework in Finland for short selling of stocks. Existing stock owners have apparently not commenced large-scale trading on Finland's futures market.
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Article Abstract:
The default risk exposure and the average capital requirements of a futures clearinghouse is estimated using an option pricing model. The model will estimate the capital requirements for a clearing house associated with the Winnipeg Commodity Exchange, a commodity futures market with daily price limits on future prices.
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