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Discusses the markets in financial options and the techniques for using them effectively. The 11 papers, first presented at a conference in Warwick, England, in July 1988, introduce the practice, survey the main issues in option valuations from both academics' and practitioners' perspectives, and discuss a range of specific applications, including portfolio insurance and the 1987 crash, foreign exchange, minimum variance market baskets, and bonds. No subject index. Distributed by St. Martin's. Annotation copyrighted by Book News, Inc., Portland, ORAs previously documented by others, we find that for this sample period the model tends to overprice deep in-the-money (SIX agt; 1.15) calls. However, this overpricing of deep in-the-money calls does not appear to be economically significant.

Author:Stewart Dimont Hodges
Publisher:Manchester University Press - 1990


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