Search for dissertations about: "expiration-day effects"

Found 2 swedish dissertations containing the words expiration-day effects.

  2. 1. Essays on Derivatives and Liquidity

    Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

    Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

  4. 2. Empirical essays on financial markets, firms, and derivatives

    Author : Niclas Hagelin; Ingrid M. Werner; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial markets; Stock markets; Future markets; Options; Derivates; Hedging; Derivathandel; Business studies; Företagsekonomi; Business Administration; företagsekonomi;

    Abstract : This thesis consists of five self-contained studies. The first three investigate the impact of derivatives on the markets for the underlying assets, while the other two examine how and why firms use derivatives. A summary of each of the five studies follows. READ MORE