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Journal Article
Path-dependent options
Hunter, William C.; Stowe, David W. (1992-03)
Economic Review , Issue Mar , Pages 29-34

Journal Article
Have large banks become riskier? recent evidence from option markets
Levonian, Mark E. (1991-10)
Economic Review , Issue Fall , Pages 3-17

Working Paper
Central bank intervention and the volatility of foreign exchange rates: evidence from the options market
Bonser-Neal, Catherine; Tanner, Glenn (1995)
This paper tests the effects of central bank intervention on the ex ante volatility of $/DM and $/Yen exchange rates. In contrast to previous research which employed GARCH estimates of conditional volatility, we estimate ex ante volatility using the implied volatilities of currency options prices. We also control for the effects of other macroeconomic announcements. We find little support for the hypothesis that central bank intervention decreased expected exchange rate volatility between 1985 and 1991. Federal Reserve intervention was generally associated with a positive change in exante ...
Research Working Paper , Paper 95-04

Working Paper
Extracting market expectations from option prices: case studies in Japanese option markets
Nakamura, Hisashi; Shiratsuka, Shigenori (1999)
This paper focuses on the recently developing financial derivatives markets, and examines the usefulness of option prices as an information variable for monetary policy implementation. A set of option prices provides us with information on the whole probability distribution of the future values of underlying assets. Such information enables us to examine the development of market expectations. The paper estimates a time series of implied probability distributions from daily option prices on stock prices and long term government bond futures. The estimation is done for a sample of daily ...
Working Paper Series , Paper WP-99-1

Journal Article
Stocks, bonds, options, futures, and portfolio insurance: a rose by any other name
Fortune, Peter (1995-07)
Trading volume and open interest in options and futures contracts on stock indices, equities, and interest rate instruments traded on world exchanges have experienced remarkable growth. However, this growth has been accompanied by controversy about the proper role of financial derivatives and the potential for abuse. Prominent attention has been given to losses by major corporations, broker-related short-term mutual funds, and municipal agencies.> The public debate about "derivatives" has promoted the impression that the heart of the problem has been a proliferation of brand new ways of ...
New England Economic Review , Issue Jul , Pages 25-46

Journal Article
The effect of employee stock options on the evolution of compensation in the 1990s
Tracy, Joseph; Mehran, Hamid (2001-12)
Between 1995 and 1998, actual growth in compensation per hour (CPH) accelerated from approximately 2 percent to 5 percent. Yet as the labor market continued to tighten in 1999, CPH growth unexpectedly slowed. This article explores whether this aggregate "wage puzzle" can be explained by changes in the pay structure?specifically, by the increased use of employee stock options in the 1990s. The CPH measure captures these options on their exercise date, rather than on the date they are granted. By recalculating compensation per hour to reflect the options' value on the grant date, the ...
Economic Policy Review , Issue Dec , Pages 17-34

Report
Options positions: risk management and capital requirements
Hendricks, Darryll; Shin, Soo; Walter, Stefan; Estrella, Arturo; Kambhu, John (1994)
Research Paper , Paper 9415

Working Paper
Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide
Melick, William R.; Galati, Gabriele; Humpage, Owen F.; Higgins, Patrick C. (2006)
A vast literature on the effects of sterilized intervention by the monetary authorities in the foreign exchange markets concludes that intervention systematically moves the spot exchange rate only if it is publicly announced, coordinated across countries, and consistent with the underlying stance of fiscal and monetary policy. Over the past fifteen years, researchers have also attempted to determine if intervention has any effects on the dispersion and directionality of market views concerning the future exchange rate. These studies usually focus on the variance around the expected future ...
Working Papers (Old Series) , Paper 0618

Working Paper
The role of warrants in corporate reorganizations
Longhofer, Stanley D. (1995)
An argument that informational asymmetries explain why the original shareholders of some firms emerge from Chapter 11 bankruptcy proceedings with stock in the reorganized company, while others receive warrants. By proposing a reorganization plan in which they receive warrants, the original stockholders of a firm with good future prospects can signal their superior information to the creditors in a way that firms with poor prospects will not wish to mimic.
Working Papers (Old Series) , Paper 9512

Working Paper
Preference-free option pricing with path-dependent volatility: A closed-form approach
Heston, Steven L.; Nandi, Saikat (1998)
This paper shows how one can obtain a continuous-time preference-free option pricing model with a path-dependent volatility as the limit of a discrete-time GARCH model. In particular, the continuous-time model is the limit of a discrete-time GARCH model of Heston and Nandi (1997) that allows asymmetry between returns and volatility. For the continuous-time model, one can directly compute closed-form solutions for option prices using the formula of Heston (1993). Toward that purpose, we present the necessary mappings, based on Foster and Nelson (1994), such that one can approximate ...
FRB Atlanta Working Paper , Paper 98-20

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