Publications

A Primer and Assessment of Social Security Reform in Mexico
Marco A. Espinosa-Vega and Tapen Sinha
Recent projections of a number of countries with pay-as-you-go pension systems have shown significant future actuarial imbalances. As a consequence, several of these countries, including Mexico, are engaged in redesigning their pension systems.

Issues in Hedging Options Positions
Saikat Nandi and Daniel F. Waggoner
This article examines the popular valuation model for options developed by Black and Scholes (1973) and Merton (1973). The model, while elegant from a theoretical perspective, is often fraught with problems when implemented in the real world. Nevertheless, because of its simplicity and tractability, the model is widely used by options traders and investors.

Evidence on the Efficiency of Index Options Markets
Lucy F. Ackert and Yisong S. Tian
This article presents new evidence on index option pricing, examining arbitrage strategies that do not involve trading a stock index and relationships that hold for any given value of the underlying asset.