By Cheng-Few Lee
This examine annual e-book intends to assemble funding research and portfolio concept and their implementation to portfolio administration. It seeks theoretical and empirical learn manuscripts with prime quality within the region of funding and portfolio research. The contents will include unique learn on: the foundations of portfolio administration of equities and fixed-income securities. The assessment of portfolios (or mutual cash) of universal shares, bonds, foreign resources, and concepts. The dynamic means of portfolio administration. innovations of foreign investments and portfolio administration. The functions of beneficial and demanding analytical innovations similar to arithmetic, econometrics, records, and pcs within the box of funding and portfolio administration. Theoretical study regarding ideas and futures. additionally, it additionally includes articles that current and view new and critical accounting, monetary, and financial information for handling and comparing portfolios of dicy resources.
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Extra info for Advances in investment analysis and portfolio management. / Volume 8
Journal of Finance, 46, 1893–1907. Valuation and Hedging of American-style Lookback and Barrier Options 37 Goldman, B. W. , Sosin, H. , & Gatto, M. A. (1979). Path Dependent Options: Buy at the Low, Sell at the High. Journal of Finance, 34, 401–414. , & White, A. (1993). Efﬁcient Procedures for Valuing European and American PathDependent options. Journal of Derivatives, Fall, 21–31. Merton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4, 141–183.
Similar to the ﬁndings of Chan, Chan and Karolyi (1991), Wahab and Lashgari ﬁnd a signiﬁcant information role for both the spot and futures indices. Additional (international) evidence of futures leading spot is provided by Puttonen (1993), using a vector error correction (VEC) model, as well as by Grunbichler et al. 5 Spot-Options Relationships Manaster and Rendleman (1982) conducted one of the ﬁrst studies testing for the lead-lag relationship between stocks and options. The authors ﬁnd that closing options prices contain superior information to that of closing stock prices and that it takes up to one day of trading for the stock prices to adjust.
The trade volumes of these options have increased in recent years. Two important extensions of the plain vanilla options are barrier and lookback options. In some cases analytical valuation formulas can be found for these options, while in others numerical methods must be employed. Hull and White (1993) extended the Cox, Ross and Rubinstein (hereafter CRR) (1979) binomial model to develop efﬁcient procedures for valuing European and American exotic options. They incorporated a Markov path function into the CRR model and used lookback and Asian options as examples to illustrate the computational efﬁciency and accuracy of their model.