Short selling recall option pricing: empirical and theoretical approaches

Short selling recall option pricing: empirical and theoretical approaches

Short selling is important for price efficiency as it helps negative information to be incorporated into prices. As short selling requires borrowing stock in advance, the equity lending market plays a central role in price efficiency. For instance, when the costs of borrowing certain equities ar...

Full description

Bibliographic Details
Main Author: Leonardo Viana de Almeida
Other Authors: Fernando Daniel Chague
Language:English
Published: Universidade de São Paulo 2016
Subjects:
Ações
Aluguel de ações
Econometria
Economia de mercado
Microfinanças
Modelo teórico
Precificação de opções
Regressão analítica
Venda descoberta
Option pricing
Regression analysis
Short selling
Stock lending
Theoretical model
Online Access:http://www.teses.usp.br/teses/disponiveis/12/12138/tde-22112016-114644/

Internet

http://www.teses.usp.br/teses/disponiveis/12/12138/tde-22112016-114644/

Similar Items