236 research outputs found
Il mercato dei contratti a premio in Italia: un’applicazione dell'Option Pricing Theory
No full textNonostante la loro crescente importanza presso le Borse italiane, i contratti a premio risultano ancora poco analizzati. Questo lavoro fornisce dapprima una descrizione del funzionamento del mercato dci premi, al fine di porre in luce le sue particolarità istituzionali rispetto ai mercati esteri delle opzioni su titoli azionari, e quindi una formula per la valutazione dei premi basata su tecniche di arbitraggio analoghe a quelle utilizzate nell'Option Pricing Theory. La verifica empirica della corrispondenza tra premi di mercato e valori teorici offre infine alcune indicazioni sulle possibilità di arbitraggio tra contratti a premio e a termine fermo e quindi sull'efficienza dei mercati azionari in Borsa
The Italian Market for ‘Premium’ Contracts: An Application of Option Pricing Theory
No full textDespite their growing importance on Italian stock exchanges, premium contracts have not received very much attention in analytical studies. This paper starts with a description of the working of the market for premium contracts with the aim of highlighting its institutional peculiarities compared with foreign markets for stock options and then develops a formula for the determination of premia based on arbitrage methods similar to those used in option pricing theory. The empirical test of the correspondence between actual market premia and the theoretical values obtained provides some indication of the scope for arbitrage between premium and forward contracts, and hence of the efficiency of Italian stock exchange markets
Implied Volatilities and Arbitrage Opportunities in the Italian Options Market
No full textThis paper, which follows up the analyses of an earlier study published in December 1988, starts by
updating the description of the regulatory framework for Italian stock options (premium contracts),
with reference both to the regulations issued by the Consob (the Italian SEC) and the changes in tax
law. This is followed by figures on the size of the market and its development in recent years. After
describing the standards operators use to value premium contracts and quantifying the deviations
from the theoretical values, we examine the techniques for forecasting share price volatilities and
verify the information content of the implied volatilities of premium contracts. The last part of the
paper describes an extensive simulation designed to reveal arbitrage opportunities that operators
failed to exploit during the period in question, with account being taken of transaction costs
Il mercato mobiliare
No full textQuesto capitolo risulta organizzato nel modo seguente. Vengono innanzitutto descritte le strutture organizzative e le modalità operative del mercato primario e secondario (paragrafo 2). Il paragrafo 3 delinea quindi le caratteristiche dei principali strumenti del mercato mobiliare e ne illustra brevemente i principi di valutazione e di analisi: a questo scopo viene premesso un breve richiamo ad alcuni modelli di teoria finanziaria che costituiscono la base per la discussione successiva. Il paragrafo 4 descrive poi le condizioni di efficienza del mercato mobiliare, mentre il paragrafo 5 conclude il capitolo con alcune informazioni statistiche sul mercato mobiliare in Italia
The Italian Market for 'Premium' Contracts: An Application of Option Pricing Theory
No full textDespite their growing importance on Italian stock exchanges, premium contracts have not received
very much attention in analytical studies. This paper starts with a description of the working of the
market for premium contracts with the aim of highlighting its institutional peculiarities compared
with foreign markets for stock options and then develops a formula for the determination of premia
based on arbitrage methods similar to those used in option pricing theory. The empirical test of the
correspondence between actual market premia and the theoretical values obtained provides some indication
of the scope for arbitrage between premium and forward contracts, and hence of the efficiency
of Italian stock exchange markets
The Valuation of Bonds and Bond Options: Some Empirical Tests
No full textThis paper presents a general method for valuing fixed rate bonds and options written on them. In the first part, of a theoretical nature, we present valuation formulae, derived within the framework of the Cox, Ingersoll and Ross (CIR) model, both for bonds and for European options written on bonds (with and without coupons) and yields. We recall the theoretical parity of put and call options. In the second part we describe a procedure that can be used to estimate the CIR model using the prices of riskless coupon bonds. Lastly, we describe the valuation of bonds denominated in three different cur-rencies and of the options implied in some Italian government securities
The Valuation of Puttable Bonds: An Application of the Cox, Ingersoll and Ross Model to Italian Treasury Option Certificates
No full textThe Italian Treasurys puttable bonds (Certificati del Tesoro con opzione di rimborso anticipato -
CTOs) are the first example in Italy of retractable/extendible bonds, which have been used on the
Canadian market for some time and recently been adopted on the Euromarket. In this paper the single-factor version of the Cox, Ingersoll and Ross model is used to determine the equilibrium value of
CTOs at issue. The simulation of the effects of changes in their features provides useful information
on the optimal design of CTOs
Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds
No full textThis artide tests the CIR model using the prices of Italian Treasury bonds in the secondary market. The artide examines the stability of parameters, the explanatory power of the resulting term structures, and the consistency of other variables with the model
The valuation of bonds and bond options: some empirical tests
No full textIn this paper we describe the techniques needed to value securities whose price depends exclusively on the term structure of interest rates.
Closed-form formulae are presented for the valuation of bonds and call options on bonds and yields, and the put-call parity used to derive the values of put options. We recall that the value of any financial asset whose price depends exclusively on the term structure of interest rates can be obtained using numerical methods (such as the finite differences method used here).
We also describe a method of estimating the parameters of the one-factor CIR model based on non-linear regression techniques (Marquardt’s algorithm).
In order to exemplify the method, we applied the model to fixed rate bonds denominated in lire (Italian Treasury bonds - BTPs), ecus (Italian Treasury ecu certificates - CTEs) and dollars (U.S. T-notes and T-bonds) and to Italian Treasury option certificates (CTOs), which are equivalent to combinations of fixed rate bonds and bond options
The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds
No full textThis paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the
secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989.
The resulting term structures of interest rates are compared with those obtained using interpolation
techniques (the cubic splines method). The daily estimation of the yield curves also makes it possible
to analyze the changes in Treasury bond prices, determine the turning points and obtain useful indications
regarding the efficiency of the secondary market and the consistency between the primary
and the secondary markets
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