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An analysis of trading in options on Eurodollar futures: Trade types, risks, and profits.
(1999)
Turning to profit distributions, I find most are not normal. Specifically, puts and calls are leptokurtotic, while straddle distributions are mesokurtotic. I find bullish trades have significantly positive profits and ...
Essays on implied volatility.
(1999)
This dissertation consists of three empirical essays regarding the estimate of future market volatility implied by an option price. According to the theory of market efficiency, this implied volatility should represent the ...
Risky asset price expectation formation and emergent market behaviors.
(1998)
We find several interesting and intriguing results. First, results from our computer simulations reveal that market behaviors which are otherwise treated as anomalies in standard asset pricing models emerge naturally in ...
Essays in Venture Capital and Entrepreneurship
(2024-05-10)
This dissertation comprises two essays that investigate the realms of venture capital (VC) and entrepreneurship. In the first essay (Chapter 1), an exploration unfolds to determine whether climate risk serves as a crucial ...