Optimal clearing margin, capital and price limits for futures clearinghouses
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Cited by:
- Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Optimal margin requirement," Finance Research Letters, Elsevier, vol. 31(C).
- Jia-Hau Guo & Lung-Fu Chang, 2020. "A generalization of option pricing to price-limit markets," Review of Derivatives Research, Springer, vol. 23(2), pages 145-161, July.
- Reiffen, David & Buyuksahin, Bahattin, 2010. "The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?," MPRA Paper 35927, University Library of Munich, Germany.
- Levy, Tamir & Qadan, Mahmod & Yagil, Joseph, 2013. "Predicting the limit-hit frequency in futures contracts," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 141-148.
- Philipp Haene & Andy Sturm, 2009. "Optimal Central Counterparty Risk Management," Working Papers 2009-07, Swiss National Bank.
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