Browsing by Subject "Bid-ask prices"
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Estimation of bid-ask prices for options on LIBOR based instruments
(Elsevier, 2016)Interest rate options are the most liquid traded derivatives in the markets. We observe the following from the markets: (i) Market dealers usually quote the mid-price. The mid-price is a subjective and hypothetical price. ... -
Subtleties in arbitrage pricing under real market conditions for derivative instruments and counterparty credit risk
(North-West University (South Africa), 2016)The thesis consist of four articles presented in seperate chapters, addressing selected subtle issues arising from the arbitrage pricing theory in the real market, with particular focus on derivative instruments and ...