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Literaturverzeichnis Adam-Müller, A. F. A. (1997): Merkmale und Einsatz exotischer Optionen, in: Sonderheft 38 der Zeitschrift für betriebswirtschaftliche Forschung, hrsg. von G. Franke, Düssel- dorf et al., S. 89-125. Adam-Müller, A. F. A. / Schäfer, K. (2001): Exotic Options, in: Handbuch Corporate Fi- nance, hrsg. von A.-K. Achleitner und G. Thoma, Loseblattwerk, Köln, Kap. 8.4.3. Adams, P. D. / Wyatt, S. B. (1987): On the Pricing of European and American Foreign Cur- rency Call Options, in: Journal of International Money and Finance, Vol. 6, No. 3, S. 315-338. Adler, M. / Dumas, B. (1984): Exposure to Currency Risk: Definition and Measurement, in: Financial Management, Vol. 13, No. 2, S. 41-50. Albrecht, P. / Maurer, R. (2008): Investment- und Risikomanagement, 3. Aufl., Stuttgart. Ammann, M. / Herriger, S. (2002): Relative Implied-Volatility Arbitrage with Index Op- tions, in: Financial Analysts Journal, Vol. 58, No. 6, S. 42-55. Ball, C. A. / Roma, A. (1994): Stochastic Volatility Option Pricing, in: Journal of Financial and Quantitative Analysis, Vol. 29, No. 4, S. 589-607. Ball, C. A. / Touros, W. N. (1985): On Jumps in Common Stock Prices and Their Impact on Call Option Pricing, in: Journal of Finance, Vol. 40, No. 1, S. 155-173. Bamberg, G. / Röder, K. (1994): Arbitrage institutioneller Anleger am DAX-Futures Markt unter Berücksichtigung von Körperschaftsteuern und Dividenden, in: Zeitschrift für Betriebswirtschaft, 64. Jg., Nr. 12, S. 1533-1566. Bartram, M. (1999): Corporate Risk Management, Bad Soden/Ts. Bates, D. (1996): Testing Option Pricing Models, in: Handbook of Statistics 14: Statistical Methods in Finance, hrsg. von G. Maddala und C. Rao, Amsterdam et al., S. 567-611. Baule, R. / Scholz, H. / Wilkens, M. (2004): Short-Zertifikate auf Indizes – Bewertung und Analyse eines innovativen Retail-Produktes für Baissephasen, in : Zeitschrift für Be- triebswirtschaft, 74. Jg., Nr. 4, S. 315-338. Baule, R. / Entrop, O. / Wilkens, M. (2008): Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Cer- tificates, in: Journal of Futures Markets, Vol. 28, No. 4, S. 376–397. Baxter, M. / Rennie, A. (1996): Financial Calculus, Cambridge. Becker, H. / Bracht, A. (1999): Katastrophen- und Wetterderivate. Finanzinnovationen auf der Basis von Naturkatastrophen und Wettererscheinungen, Wien. Beckers, S. (1980): The Constant Elasticity of Variance Model and Its Implications for Op- tion Pricing, in: Journal of Finance, Vol. 35, No. 3, S. 661-673. Berendes, M. / Bühler, W. (1994): Analyse der Preisunterschiede von Zinsforward und Zinsfuture, in: Zeitschrift für betriebswirtschaftliche Forschung, 46. Jg., Nr. 12, S. 987- 1020. Bergman, Y. Z. (1985): Pricing Path Contingent Claims, in: Research in Finance, Vol. 5, S. 229-241. 394 Literaturverzeichnis Bessembinder, H. / Lemmon, M. L. (2002): Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets, in: Journal of Finance, Vol. 57, No. 3, S. 1347-1382. Bharadwaj, A. / Wiggins, J. B. (2001): Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market, in: Journal of Derivatives, Vol. 8, No. 4, S. 62-71. Bhattacharya, M. (1983): Transaction Data Tests of Efficiency of the Chicago Board Op- tions Exchange, in: Journal of Financial Economics, Vol. 12, No. 2, S. 161-185. Black, F. (1976): The Pricing of Commodity Contracts, in: Journal of Financial Economics, Vol. 3, No. 1-2, S. 167-179. Black, F. (1989): How to Use the Holes in Black-Scholes, in: Journal of Applied Corporate Finance, Vol. 1, No. 4, S. 67-73. Black, F. / Scholes, M. (1973): The Pricing of Options and Corporate Liabilities, in: Journal of Political Economy, Vol. 81, No. 3, S. 637-654. Bloss, M. / Eil, N. / Ernst, D. / Fritsche, H. / Häcker, J. (2009): Währungsderivate. Praxis- leitfaden für ein effizientes Management von Währungsrisiken, München. Bodnar, G. M. / Gebhardt, G. (1999): Derivatives Usage in Risk Management by US and German Non-Financial Firms: A Comparative Survey, in: Journal of International Fi- nancial Management and Accounting, Vol. 10, No. 3, S. 153-187. Bodurtha, J. N. / Courtadon, G. R. (1987): The Pricing of Foreign Currency Options, Monograph Series in Finance and Economics, No. 4/5, New York University. Boyle, P. P. (1977): Options: A Monte Carlo Approach, in: Journal of Financial Econom- ics, Vol. 4, No. 3, S. 323-338. Branger, N. / Schlag, C. (2004a): Zinsderivate, Berlin et al. Branger, N. / Schlag, C. (2004b): Why Is the Index Smile so Steep?, in: Review of Finance, Vol. 8, No. 1, S. 109-127. Branger, N. / Schlag, C. (2009): Can Tests Based on Option Hedging Errors Correctly Iden- tify Volatility Risk Premia?, in: Journal of Financial and Quantitative Analysis, Vol. 44, No. 1, S. 1055-1090. Brennan, M. J. (1991): The Price of Convenience and the Valuation of Commodity Contin- gent Claims, in: Stochastic Models and Option Values, hrsg. von D. Lund und B. Oksendal, North-Holland, S. 33-71. Brenner, M. / Courtadon, G. / Subrahmanyam, M. (1985): Options on the Spot and Options on Futures, in: Journal of Finance, Vol. 40, No. 5, S. 1303-1317. Brenner, M. / Subrahmanyam, M. G. (1988): A Simple Formula to Compute the Implied Standard Deviation, in: Financial Analysts Journal, Vol. 44, No. 5, S. 80-83. Brenner, M. / Subrahmanyam, M. G. (1994): A Simple Approach to Option Valuation and Hedging in the Black-Scholes Model, in: Financial Analysts Journal, Vol. 50, No. 1, S. 25-28. Breuer, W. (1998): Zinsswaps als Instrument der Unternehmensfinanzierung, in: Unter- nehmensführung und Kapitalmarkt, hrsg. von G. Franke und H. Laux, Berlin et al., S 1-34. Breuer, W. (2000): Unternehmerisches Währungsmanagement, Wiesbaden. Brigo, D. / Mercurio, F. (2001): Interest Rate Models, Berlin et al. Brink, H.-J. (1989): Rohstoffmärkte, in: Handwörterbuch Export und Unternehmung, hrsg. von K. Macharzina und M. Welge, Stuttgart, Sp. 1865-1876. Broll, U. / Wahl, J. (1995): Export Decision and Risk Sharing Markets, in: Zeitschrift für Wirtschafts- und Sozialwissenschaften, 115. Jg., Nr. 1, S. 27-36. Brummer, M. / Pfennig, M. / Schäfer, K. (1999): Preisrisiken in liberalisierten Strommärk- ten, in Solutions, Vol. 3, No. 3-4, S. 7-26. Literaturverzeichnis 395 Bühler, W. (1988): Rationale Bewertung von Optionsrechten auf Anleihen, in: Zeitschrift für betriebswirtschaftliche Forschung, 40. Jg., Nr. 10, S. 851-883. Bühler, W. / Kempf, A. (1993): Der DAX-Future: Kursverhalten und Arbitragemöglichkei- ten, in: Kredit und Kapital, 26. Jg., Nr. 4, S. 533-574. Bühler, W. / Korn, O. (2000): Absicherung langfristiger Lieferverpflichtungen mit kurzfris- tigen Futures: Möglich oder unmöglich?, in: Zeitschrift für betriebswirtschaftliche For- schung, 52. Jg., Nr. 4, S. 315-347. Bühler, W. / Uhrig, M. / Walter, U. / Weber, T. (1997): Erfahrungen bei dem Einsatz von Modellen zur Bewertung von Zinsoptionen – eine empirische Studie, in: Sonderheft 38 der Zeitschrift für betriebswirtschaftliche Forschung, hrsg. von G. Franke, Düsseldorf et al., S. 1-42. Büschgen, H. (1997): Internationales Finanzmanagement, Frankfurt am Main. Burghof, H.-P. / Henke, S. / Rudolph, B. / Schönbucher, P. / Sommer, D. (Hrsg.) (2005): Kreditderivate. Handbuch für die Bank- und Anlagepraxis, 2. Aufl., Stuttgart. Cartea, Á. /Villaplana, P. (2008): Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity, in: Journal of Banking & Fi- nance, Vol. 32, No. 12, S. 2502-2519. Pirrong, C. / Jermakyan, M. (2008): The Price of Power: The Valuation of Power and Weather Derivatives, in: Journal of Banking & Finance, Vol. 32, No. 12, S. 2520- 2529. Cecchetti, S. G. / Gyntelberg, J. / Hollanders, M. (2009): Central Counterparties for Over- the-Counter Derivatives, in: BIS Quarterly Review, September, S. 45-58. Chance, D. M. / Brooks, R. (2008): An Introduction to Derivatives and Risk Management, 7th Intern. Ed., Mason, Ohio. Christoffersen, P. / Jacobs, K. / Ornthanalai, C. / Wang, Y. (2008): Option Valuation with Long-Run and Short-Run Volatility Components, in: Journal of Financial Economics, Vol. 90, No. 3, S. 272-297. Clewlow, L. / Strickland, C. (2000): Energy Derivatives, London. Choi, J. W. / Longstaff, F. A. (1985): Pricing Options on Agricultural Futures: An Applica- tion of the Constant Elasticity of Variance Option Pricing Model, in: Journal of Fu- tures Markets, Vol. 5, No. 2, S. 247-258. Copeland, L. (2000): Exchange Rates and International Finance, Essex. Corrado, C. J. / Miller, T. W. (1996): A Note on a Simple, Accurate Formula to Compute Implied Standard Deviations, in: Journal of Banking & Finance, Vol. 20, No. 3, S. 595-603. Courtadon, G. (1990): An Introduction to Numerical Methods in Option Pricing, in: Finan- cial Options: From Theory to Practice, hrsg. von S. Figlewski, W. L. Silber und M. G. Subrahmanyam, New York, S. 538-573. Cox, J. C. (1975): Notes on Option Pricing I: Constant Elasticity of Variance Diffusions, Working Paper, Stanford University, (reprinted in: Journal of Portfolio Management 1996, Vol. 22, No. 2, S. 15-17). Cox, J. C. / Huang, C. (1989): Option Pricing Theory and Its Applications, in: Theory of Valuation, hrsg. von M. Bhattacharya und G. M. Constantinides, New Jersey, S. 272- 288. Cox, J. C. / Ingersoll, J. E. / Ross, S. A. (1981): The Relation Between Forward and Futures Prices, in: Journal of Financial Economics, Vol. 9, No. 4, S. 321-346. Cox, J. C. / Ross, S. A. (1976): The Valuation of Options for Alternative Stochastic Proc- esses, in: Journal of Financial Economics, Vol. 3, No. 1-2, S. 145-166. 396 Literaturverzeichnis Cox, J. C. / Ross, S. A. / Rubinstein, M. (1979): Option Pricing: A Simplified Approach, in: Journal of Financial Economics, Vol. 7, No. 3, S. 229-263. Cox, J. C. / Rubinstein, M. (1985): Options Markets, Englewood Cliffs, New Jersey. Crouhy, M. / Galai, D. / Mark, R. (2001): Risk Management, New York. Culp, C. L. / Miller, M. H. (1995): Metallgesellschaft and the Economics of Synthetic Stor- age, in: Journal of Applied Corporate Finance, Vol. 7, No. 4, S. 62-76. Dempster, M. A. H. / Medova, E. / Tang, K. (2008): Long Term Spread Option Valuation and Hedging, in: Journal of Banking & Finance, Vol.
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  • Regulatory Circular RG16-044

    Regulatory Circular RG16-044

    Regulatory Circular RG16-044 Date: February 29, 2016 To: Trading Permit Holders From: Regulatory Division RE: Product Description and Margin and Net Capital Requirements - Asian Style Settlement FLEX Broad-Based Index Options - Cliquet Style Settlement FLEX Broad-Based Index Options KEY POINTS On March 21, 2016, Chicago Board Options Exchange, Incorporated (“CBOE” or “Exchange”) plans to commence trading Asian style settlement and Cliquet style settlement FLEX Broad-Based Index Options (“Asian options” and “Cliquet options,” respectively).1 Asian and Cliquet options are permitted only for broad-based indexes on which options are eligible for trading on CBOE. Asian and Cliquet options may not be exercised prior to the expiration date and must have a $100 multiplier. Asian style settlement is a settlement style that may be designated for FLEX Broad-Based Index options and results in the contract settling to an exercise settlement value that is based on an arithmetic average of the specified closing prices of an underlying broad-based index taken on 12 predetermined monthly observation dates. Cliquet style settlement is a settlement style that may be designated for FLEX Broad-Based Index options and results in the contract settling to an exercise settlement value that is equal to the greater of $0 or the sum of capped monthly returns (i.e., percent changes in the closing value of the underlying broad-based index from one month to the next month) applied over 12 predetermined monthly observation dates. The monthly observation date is set by the parties to a transaction. It is the date each month on which the value of the underlying broad-based index is observed for the purpose of calculating the exercise settlement value.