Essays on derivatives
This dissertation comprises three essays that study three distinct derivative contracts. The first essay proves, in a model-free framework, that early exercise of futures-style options on futures, whether calls or puts, is suboptimal. The result is robust to transaction costs, liquidity constrain...
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| Format: | Others |
| Language: | en |
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McGill University
2005
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| Online Access: | http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85194 |