haku: @author Kolb, R. W. / yhteensä: 9
viite: 2 / 9
| Tekijä: | Gay, G. D. Kolb, R. W. Yung, K. |
| Otsikko: | Trader rationality in the exercise of futures options. |
| Lehti: | Journal of Financial Economics
1989 : AUG, VOL. 23:2, p. 339-361 |
| Asiasana: | OPTIONS BONDS |
| Kieli: | eng |
| Tiivistelmä: | The rationality of investor exercise behavior is examined by analyzing two years' tendered exercise notices for Treasury bond futures options. It is concluded that exercise behavior is generally rational, but numerous failures to exercise as well as some exercises that should not have occured are documented. The most frequent type of error is failing to exercise, suggesting that traders do not monitor their position with sufficient care. It is shown that investors use information arriving after trading closes, but before exchange-imposed exercise deadlines, in forming their exercise decisions. |
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