2003-06-19
Dealing with Derivatives. Studies on the role, informational content and pricing of financial derivatives
Publication
Publication
Over derivaten: Studies naar de rol, informatieve waarde en waardering van financiële
The aim of this thesis is to improve the understanding of derivatives markets, which should ultimately lead to a better diversification of risks among market participants. The author first analyzes the impact of derivatives on the market quality of the underlying asset. With experiments and a theoretical model it is shown that derivatives generally make markets more efficient, although volatility may increase, depending on the exact market structure. Next, the author presents two methods that derive information about the underlying price process from traded options. The models approximate the option prices well and the extracted information explains future volatility better than historical data. Finally, a model for the valuation of options in electricity markets is presented that deals with the special characteristics of electricity spot prices and may serve to value electricity generation plants.
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| Erasmus University Rotterdam, Rotterdam School of Management. Promotor(es): Prof.dr. C.G. Koedijk. Other members: Prof.dr. C.G. de Vries, Prof.dr. P.H.B.F. Franses, Prof.dr. F.C. Palm. | |
| C.G. Koedijk (Kees) | |
| Erasmus University Rotterdam | |
| hdl.handle.net/1765/1043 | |
| ERIM Ph.D. Series Research in Management | |
| Organisation | Erasmus Research Institute of Management |
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de Jong, C. (2003, June 19). Dealing with Derivatives. Studies on the role, informational content and pricing of financial derivatives (No. ERIM PhD Series;EPS-2003-023-F&A). ERIM Ph.D. Series Research in Management. Retrieved from http://hdl.handle.net/1765/1043 |
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