Please use this identifier to cite or link to this item: http://cris.teiep.gr/jspui/handle/123456789/1355
Title: Estimation of the Maximum Average Loss for investment positions in futures of the Athens Derivatives Exchange Market
Authors: Konstantinos Kyritsis 
Apostolis Kiohos 
Keywords: Οικονομικά
Issue Date: 15-Mar-2001
Publisher: Archives of Economic History
Source: Archives of Economic History 2001 volume XIII issue no 2 pp 103-110
Abstract: Abstract In this paper we discuss the risk of mark-to-market loss of positions with leverage, of infinite horizon, 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 the tables of required liquidity for futures on FTSE-20 and FTSE-40 in the Athens Derivatives Exchange Market and the maximum average Loss of infinite horizon investment positions in Derivative Exchange Market.
URI: http://cris.teiep.gr/jspui/handle/123456789/1355
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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