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The order flow of discount certificates and issuer pricing behavior
16 references·2 citing·40 second hop
The order flow of discount certificates and issuer pricing behavior (2011)The order flow of discount certificates a…The dark side of financial innovation: A case study of the pricing of a retail financial product☆ (2010)The dark side of financial in…Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates (2008)Credit risk and bank margins …An Introduction to Structured Finance (2008)An Introduction to Structured…Trade classification algorithms for electronic communications network trades (2007)Trade classification algorith…The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates (2006)The pricing of leverage produ…Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments (2005)Are structured products ‘fair…The Pricing of Structured Products in Germany (2003)The Pricing of Structured Pro…Errors in Implied Volatility Estimation (2003)Errors in Implied Volatility …The Pricing of Structured Products in the Swiss Market (2001)The Pricing of Structured Pro…The Accuracy of Trade Classification Rules: Evidence from Nasdaq (2000)The Accuracy of Trade Classif…The impact of default risk on the prices of options and other derivative securities (1995)The impact of default risk on…Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 (1994)Estimating and Interpreting F…Pricing the SPIN (1990)Pricing the SPINAn analysis of market-index certificates of deposit (1990)An analysis of market-index c…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Engineering lemons (2021)Engineering lemonsPiecewise Continuous Cumulative Prospect Theory and Piecewise Continuous Hedonic Framing (2011)Piecewise Continuous Cumulati…The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Pricing Black-Scholes options with correlated credit risk (1996)Recursive valuation of defaultable securities and the timing of resolution of uncertainty (1996)The intersection of market and credit risk (2000)The Information in Long-Maturity Forward Rates (1987)The U.S. Treasury yield curve: 1961 to the present (2007)Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)Noise as Information for Illiquidity (2013)The equity premium: A puzzle (1985)The Cross-Section of Expected Stock Returns (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does option trading convey stock price information? (2013)New Evidence on the Financialization of Commodity Markets (2014)Catering to Investors Through Security Design: Headline Rate and Complexity* (2017)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Econometric Models and Economic Forecasts (1990)The Valuation of Structured Products: Empirical Findings for the Swiss Market (2005)“Options, Futures, and Other Derivatives” (2016)Inferring Trade Direction from Intraday Data (1991)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket (2000)Evidence on the speed of convergence to market efficiency (2005)Stock price reaction to public and private information (2006)Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)Options on the minimum or the maximum of two risky assets (1982)Investment horizon and the attractiveness of investment strategies: A behavioral approach (2009)Limited-dependent and qualitative variables in econometrics (1983)Generalized autoregressive conditional heteroskedasticity (1986)Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Failure Is an Option: Impediments to Short Selling and Options Prices (2008)Arbitrage-free smoothing of the implied volatility surface (2009)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)Gains from structured product markets: The case of reverse-exchangeable securities (RES) (2005)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1994Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994588 cited
  • 2000The Accuracy of Trade Classification Rules: Evidence from Nasdaq454 cited
  • 2010The dark side of financial innovation: A case study of the pricing of a retail financial product☆334 cited
  • 1995The impact of default risk on the prices of options and other derivative securities324 cited
  • 2003Errors in Implied Volatility Estimation183 cited
  • 2005Are structured products ‘fairly’ priced? An analysis of the German market for equity-linked instruments168 cited
  • 2003The Pricing of Structured Products in Germany119 cited
  • 2001The Pricing of Structured Products in the Swiss Market95 cited
  • 2007Trade classification algorithms for electronic communications network trades87 cited
  • 2006The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates76 cited
  • 1990Pricing the SPIN71 cited
  • 1990An analysis of market-index certificates of deposit70 cited
  • 2008An Introduction to Structured Finance

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68 cited
  • 2008Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates64 cited
  • Cited by

    • 2021Engineering lemons45 cited
    • 2011Piecewise Continuous Cumulative Prospect Theory and Piecewise Continuous Hedonic Framing1 cited