Please use this identifier to cite or link to this item: http://cris.teiep.gr/jspui/handle/123456789/1335
Title: Estimation of required liquidity for investment position in Futures of the Athens Derivatives Exchange Market
Authors: Konstantinos Kyritsis 
Keywords: Μαθηματική οικονομία
Issue Date: 20-Jun-2001
Publisher: the University of Piraeus volume Β "Essays in honor of the professor Nikolaou" 2001
Abstract: Abstract In this paper we discuss the risk of mark-to-market loss of positions with leverage, in futures. We make the usual assumptions of Lognormal distribution and geometric Brownian motion for the underlying as in the Black-Scholes options pricing model. With these assumptions we estimate tables of required liquidity for futures on FTSE-20 and FTSE-40 in the Athens Derivative Exchange Market, during the year 2000.
URI: http://cris.teiep.gr/jspui/handle/123456789/1335
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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