English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Pro

Presents the zaia usage as premium feature

ZAIA

Presents AI Discovery search usage as a premium feature

AI Discovery

Presents AI Discovery explain and summary usage as a premium feature

Content Analysis

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Presents the pdf analysis as premium feature

PDF Analysis

1500 Top-up

3000 Top-up

Zendy Basic

2500 Top-up

Zendy Unlimited

Presents the access of premium content as premium feature

Premium Content

This study introduces a new technique to recover the implicit discount factorin the derivative market using only European put and call prices: this discountis grounded in actual transactions in active markets. Moreover, this studyidentifies the implied cost of funding, over OIS, of major market players. Doesa liquid equity market allow arbitrage? The key idea is that the (unique)forward contract -- built using the put-call parity relation -- containsinformation about the market discount factor: by no-arbitrage conditions weidentify the implicit interest rate such that the forward contract value doesnot depend on the strike. The procedure is applied to options on S&P 500 andEURO STOXX 50 indices. There is statistical evidence that, in the EURO STOXX 50market, the implicit interest rate curve coincides with the EUR OIS one, while,in the S&P 500 market, a cost of funding of, on average, 34 basis points isadded on top of the USD OIS curve.

Synthetic forwards and cost of funding in the equity derivative market