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A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices
(Taylor & Francis Online, 2015)
This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, ...
Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
(Springer, 2015)
Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to ...