Japanese Equity Warrants
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Author |
: Richard Downes |
Publisher |
: |
Total Pages |
: 142 |
Release |
: 1990 |
ISBN-10 |
: UCSD:31822005248166 |
ISBN-13 |
: |
Rating |
: 4/5 (66 Downloads) |
Synopsis Japanese Equity Warrants by : Richard Downes
Author |
: Christopher M. Mitchinson |
Publisher |
: |
Total Pages |
: 0 |
Release |
: 1989 |
ISBN-10 |
: OCLC:1337649699 |
ISBN-13 |
: |
Rating |
: 4/5 (99 Downloads) |
Synopsis Japanese Equity Warrants by : Christopher M. Mitchinson
Author |
: P. H. Kevin Chang |
Publisher |
: |
Total Pages |
: 15 |
Release |
: 1992 |
ISBN-10 |
: OCLC:84508242 |
ISBN-13 |
: |
Rating |
: 4/5 (42 Downloads) |
Synopsis Pricing Inefficiencies in Japanese Equity Warrant Markets by : P. H. Kevin Chang
Author |
: Madis Senner |
Publisher |
: |
Total Pages |
: 156 |
Release |
: 1989 |
ISBN-10 |
: UOM:39015018467400 |
ISBN-13 |
: |
Rating |
: 4/5 (00 Downloads) |
Synopsis Japanese Euroderivatives by : Madis Senner
Author |
: Kevin Connolly |
Publisher |
: Palgrave Macmillan |
Total Pages |
: 228 |
Release |
: 1992-08-24 |
ISBN-10 |
: 0333569857 |
ISBN-13 |
: 9780333569856 |
Rating |
: 4/5 (57 Downloads) |
Synopsis Japanese Warrant Markets by : Kevin Connolly
This market is the largest and most liquid-call type derivative in the world. Philips and Connolly intend to clarify definitions and discuss why the warrant is so important to the institutional investor. The authors consider its versatility and the implications for profit from the tremendous volatility in this market.
Author |
: Kevin Connolly |
Publisher |
: |
Total Pages |
: 228 |
Release |
: 1992-01-01 |
ISBN-10 |
: 1561590347 |
ISBN-13 |
: 9781561590346 |
Rating |
: 4/5 (47 Downloads) |
Synopsis Japanese Warrant Markets by : Kevin Connolly
Author |
: George A. Philips |
Publisher |
: |
Total Pages |
: 222 |
Release |
: 1989-01-01 |
ISBN-10 |
: 094655949X |
ISBN-13 |
: 9780946559497 |
Rating |
: 4/5 (9X Downloads) |
Synopsis Japanese Warrants by : George A. Philips
Author |
: Terry Marsh |
Publisher |
: |
Total Pages |
: |
Release |
: 2001 |
ISBN-10 |
: OCLC:1291262371 |
ISBN-13 |
: |
Rating |
: 4/5 (71 Downloads) |
Synopsis Why Doesn't the Black-Scholes Model Fit Japanese Warrants and Convertible Bonds? by : Terry Marsh
In this paper, we investigate the systematic departures of traded prices of Japanese equity warrants and convertible bonds from their theoretical Black-Scholes values. We briefly consider transactions costs and the dilution adjustment as potential explanations of the discrepancy between price and value, showing that they can, in principle, explain some of the discrepancy. However, our major focus is on shifts in volatility of the prices of the underlying stocks as a function of the stock price changes; such shifts are not taken into account in the Black-Scholes values. We assume that the pseudo-probability distributions of prices of stocks of cross-sections of companies which are roughly similar in size are identical. This simple assumption (which can be generalized) enables us to infer the implied probability distribution and binomial tree for stock price changes using the Derman and Kani (1994), Dupire (1994), Rubinstein (1994), and Shimko (1993) approach. The cross-section of warrant prices implies an inverse volatility smile and a positively skewed probability density for stock prices. Rubinstein's identifying assumptions generate an implied binomial tree in which the relative size of up-steps and down-steps, and thus volatility, changes systematically as stock prices change. We briefly consider potential explanations for the implied behavior, and for the difference in the smile pattern between index options and the warrants and convertibles.
Author |
: Mitsuru Misawa |
Publisher |
: World Scientific Publishing Company |
Total Pages |
: 464 |
Release |
: 2006-09-01 |
ISBN-10 |
: 9789813106741 |
ISBN-13 |
: 9813106743 |
Rating |
: 4/5 (41 Downloads) |
Synopsis Current Business and Legal Issues in Japan's Banking and Finance Industry by : Mitsuru Misawa
This is one of the few books written in English by a Japanese author with expertise in finance, law and business. The book presents issues pertaining to the three areas from Japan's and US viewpoints, and is based on ten articles, published in reputable journals, on current issues in finance and law in Japan. It includes additional comments on Japan's banking and finance industry. The book contains a number of citations which will help readers understand more about Japanese law and finance. It also serves as a reference source for people outside Japan interested in Japanese law and finance. This book will be of interest to businessmen, accountants and lawyers who wish to know more about the second largest economy in the world.
Author |
: Jack Clark Francis |
Publisher |
: John Wiley & Sons |
Total Pages |
: 742 |
Release |
: 1999-11-08 |
ISBN-10 |
: 0471326038 |
ISBN-13 |
: 9780471326038 |
Rating |
: 4/5 (38 Downloads) |
Synopsis The Handbook of Equity Derivatives by : Jack Clark Francis
Aktienderivate gehören zu den populärsten Derivatprodukten, die von institutionellen Anlegern gehandelt werden. Ein Aktienderivat ist ein Future oder eine Option auf Aktien oder Aktienindices. Zu den traditionellen Aktienderivaten gehören Optionsscheine, Optionen, Futures und Aktienindexfutures. Das "Handbook of Equity" ist eine vollständige und umfassende Überarbeitung des ersten und einzigen Buches zu diesem Thema. Herausgegeben von führenden Köpfen der Branche - darunter Nobelpreisträger Fischer Black, John Braddock und Mark Rubenstein - enthält es wichtige neue Informationen zu Aktienindexfutures und -optionen und erweitert die mathematische Diskussion um das Black & Scholes-Modell. (11/99)