Discovery Projects - Grant ID: DP1095969

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/API/grants/DP1095969

Funding Status
Closed

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Funded Activity Summary

Quantitative and qualitative aspects of Asian and Australian options. While Asian options are highly popular and traded over the counter all over the world, they are traded on an institutional basis in only very few countries. Australia is one of them. Variable purchase options (VPO's), where the payoff is determined by the quotient of a stock and its average price, are traded on the Australian stock exchange since 1992. They build an important component of the Australian derivatives market and are particularly interesting for foreign investors, who are not able to find this sort of financial product on their domestic markets. A better understanding of these products is necessary to maximize the benefits for Australia's financial markets and economy.

Funded Activity Details

Start Date: 05-2010

End Date: 05-2013

Funding Scheme: Discovery Projects

Funding Amount: $150,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Mathematical Sciences Not Elsewhere Classified | Statistics | Operations Research

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Monetary policy |

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