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|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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