Analyzes the implications for stock and future price volatility of program trading and dynamic hedging strategies. Including a review of portfolio insurance, market equilibrium, potential adaptations and synthetic securities.
Written in 1989; 7,200 words; 14 sources; $ 135.95
From the Paper:
" An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
1. Introduction
The introduction of futures and options markets in stock indexes is strongly associated with the use of programmed trading strategies. Such strategies are used for spot/futures arbitrage, market timing, and portfolio insurance. It is this last use of programmed trading strategies that raises fascinating theoretical questions, the answers to which may have practical importance for understanding the impact of such strategies on the volatility of stock and futures prices.
Recent advances in financial theory have created an understanding of the environments in which a real security can be..."
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