haku: @journal_id 1676 / yhteensä: 53
viite: 15 / 53
| Tekijä: | Norden, L. |
| Otsikko: | Hedging of American equity options: do call and put prices always move in the direction as predicted by the movement in the underlying stock price? |
| Lehti: | Journal of Multinational Financial Management
2001 : OCT-DEC, VOL. 11:4-5, p. 321-340 |
| Asiasana: | HEDGING OPTIONS SHARE PRICES SWEDEN USA |
| Kieli: | eng |
| Tiivistelmä: | Using daily Swedish equity options data, an empirical analysis of some basic textbook properties for American options is performed. Several violations of these properties are found; call and put prices often move in the "wrong" direction compared with the stock price, call and put prices sometimes also increase or decrease simultaneously and option price changes are often larger than corresponding stock price changes. |
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