[PDF][PDF] Can COVID-19 data be used to guide airline stock trading during the pandemic?
Since the outbreak of the COVID-19 pandemic in early 2020, aviation stocks globally have
been severely hit in the financial market. Several conventional technical indicators have lost …
been severely hit in the financial market. Several conventional technical indicators have lost …
The Tradability Premium on the S&P 500 Index
We derive a coherent multifactor model for pricing various derivatives written on the same
underlying (potentially nontradable) asset. We show the difference between a case in which …
underlying (potentially nontradable) asset. We show the difference between a case in which …
[PDF][PDF] Optimal Positional Momentum and Liquidity Management
A Panahidargahloo - jjstats.com
This paper introduces new positional investment strategies that maximize investors'
positional utility from holding assets with high expected future return and liquidity ranks. The …
positional utility from holding assets with high expected future return and liquidity ranks. The …
[PDF][PDF] Nontradable Market Index and Its Derivatives
P Xu - 2009 - collectionscanada.gc.ca
Abstract The S&P 500 Index is a leading indicator of US equities and is meant to reflect the
risk and return on the US stock market. Many derivatives based on the S&P 500 are …
risk and return on the US stock market. Many derivatives based on the S&P 500 are …
[BOOK][B] Non-tradable S & P 500 Index and the Pricing of Its Traded Derivatives
We derive a coherent multi-factor model to price various derivatives such as forwards,
futures and European options written on a same underlying asset which is potentially non …
futures and European options written on a same underlying asset which is potentially non …
[CITATION][C] S&P 500 Index Options and Put-Call Parity
P Xu - 2007 - Manuscript