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Journal Article
Pricing debt instruments: the options approach
Pozdena, Randall; Iben, Ben (1983-07)
Economic Review , Issue Sum , Pages 19-30

Journal Article
Index amortizing rate swaps
Galaif, Lisa N. (1993-01)
As short-term interest rates have declined over the past several years, investors have increasingly sought higher yielding investment vehicles. The index amortizing rate (IAR) swap is one of several new instruments that have been developed in response to this investor demand for yield enhancement. This article explains the structure and pricing of IAR swaps, some of the risks associated with the product, and the uses and growth prospects of the market.
Quarterly Review , Volume 18 , Issue Win , Pages 63-70

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
Efficiency in index options markets and trading in stock baskets
Ackert, Lucy F.; Tian, Yisong S. (1999)
Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency within options markets improves, and the evidence supports the hypothesis that a stock basket enhances the connection between markets. However, when transactions costs and short sales constraints are ...
FRB Atlanta Working Paper , Paper 99-5

Conference Paper
Equity and bond market signals as leading indicators of bank fragility
Gropp, Reint; Vulpes, Giuseppe; Vesala, Jukka M. (2002)
We analyse the ability of equity market-based distances-to-default and subordinated bond spreads to signal a material weakening in banks' financial condition. Using option pricing, we show that both indicators are complete and unbiased indicators of bank fragility. We empirically test these properties using a sample of EU banks. Two different econometric models are estimated: a series of logit-models, which were estimated for different time-leads, and a proportional hazard model. We find support in favour of using both the distance-to-default and spread as leading indicators of bank ...
Conference Series ; [Proceedings]

Report
Performance maximization of actively managed funds
Wang, Zhenyu; Huberman, Gur; Guasoni, Paolo (2010)
Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance performance ratios. This paper derives the performance-maximizing strategy--a variant of buy-write--and the least upper bound on such performance enhancement, thereby showing that if common equity indexes are used as benchmarks, the potential performance enhancement from trading frequently is usually ...
Staff Reports , Paper 427

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

Working Paper
Transaction costs and option configuration
Shaffer, Sherrill (1989)
Working Papers , Paper 89-18

Journal Article
Pricing mortgages: an options approach
Pozdena, Randall; Iben, Ben (1984-04)
Economic Review , Issue Spr , Pages 39-55

Journal Article
Margin requirements on equity instruments
Sofianos, George (1988-07)
Quarterly Review , Volume 13 , Issue Sum , Pages 47-60

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