Relevant bibliographies by topics / Options

Academic literature on the topic 'Options'

Author: Grafiati
Published: 4 June 2021
Last updated: 26 July 2024

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Journal articles on the topic "Options"

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Aninkan, A. S., B. O. Akinnuli, and M. K. Adeyeri. "Determination of supply conditions, scenarios and pay-off for industrial machinery supplier selection post economic and engineering considerations." Nigerian Journal of Technology 41, no. 6 (March 14, 2023): 971–79. http://dx.doi.org/10.4314/njt.v41i6.7.

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Supply conditions after economics and engineering considerations is important for consideration because machinery and equipment procurement is a tripod of which supply conditions is one. This study identified the attributes of supply conditions, different ways of combining the attributes using simple permutation and combination theories and determined the pay-off as well as the opportunity lost to every scenario used by method of Expected Decision Value (EDV). The attributes were identified as: Due Date of the Supply (A); Technical Capability of Vendor (B); After Sales Services (C); and Vendor’s Experience (D). Total number of scenarios were 15 of four (4) options. The pay-off with the opportunity lost to each selected option are: Option1 (25% against 75%); Option2 (50% against 50%); Option3 (75% against 25%); and Option4, 100% where the four (4) strategic decisions were all considered for selecting the supplier turns out to be optimum and in favour of purchaser. Further research in the area of development of a Surrogate Model for Industrial Machinery Supplier Selection Post Economics and Engineering Considerations is recommended.
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Liu, Zhenhao. "A Comparison of the Performance of Rainbow Options and Stocks under COVID-19 and Ukraine Conflict." Highlights in Business, Economics and Management 24 (January 22, 2024): 2399–406. http://dx.doi.org/10.54097/xax99y22.

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This paper hopes to explore which is the better choice for investors under the different environments of the US stock market, rainbow option or buying a single stock. Due to the improvement of the COVID-19 situation in the United States in 2021 and the introduction of government policies to stimulate the economy, the US stock market showed an upward trend throughout 2021. In 2022, due to the conflict between Russia and Ukraine, the global economy will be impacted, and the US stock market is no exception. In these two long-term bear markets and bull markets, it hopes to find a mutation option to control risks and improve returns. In this case, it focuses on rainbow options, which are options that help investors screen out the better-performing stocks or futures included in them. First, this paper paired 14 stocks in five fields, calculated the option’s payoff according to the rainbow option's rules, and then compared it with the return of the stock alone to explore the superiority of the rainbow option. The return on the rainbow option is higher than the return on any single stock. Then the option is simulated and priced for 1000 future trading days so as to obtain the return of the rainbow option under the assumption of stable fluctuation in the US stock market environment, which is used as the reference for pricing. Finally, the sensitivity analysis of options is conducted to study the main factors affecting the volatility of option premiums. The result is that the moves in rainbow options are always correlated with the stock that is more active.
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Fatone, Lorella, Marco Giacinti, Francesca Mariani, Maria Cristina Recchioni, and Francesco Zirilli. "Parallel option pricing on GPU: barrier options and realized variance options." Journal of Supercomputing 62, no. 3 (August 2, 2012): 1480–501. http://dx.doi.org/10.1007/s11227-012-0813-7.

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Šoltés, Michal, and Monika Harčariková. "Gold price risk management through Nova 3 option strategy created by barrier options." Investment Management and Financial Innovations 13, no. 1 (March 4, 2016): 49–0. http://dx.doi.org/10.21511/imfi.13(1).2016.04.

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The paper is focused on selected aspects of the hedging using of Nova 3 option strategy created by barrier options, which are appropriate tools widely used for risk management of high risk underlying assets. Financial risk management using option strategies is an effective solution for limiting the loss from underlying asset’s price development. The Nova 3 option strategy is suitable for hedging against increase in price of the underlying asset in case of its purchase in future. In our approach, European up and knock-in call options together with standard put and barrier put options are used for investigation of hedging strategies in increasing markets. Theoretical models of suitable hedged profit functions in analytical expressions are analyzed also from their benefits and risks point of view. Created combinations of these hedging variants have to meet the requirements of zero-cost option strategy. Based on the own theoretical results, the hedged profit portfolio is applied to SPDR Gold Shares, where due to the lack of data on real barrier option premiums, these were calculated according to Haug model. Designed secured variants through Nova 3 option strategy were analyzed and compared to each other with the recommendations of the best possibilities for investors
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WEIRICH, PAUL. "Intrinsic Utility's Compositionality." Journal of the American Philosophical Association 1, no. 3 (2015): 545–63. http://dx.doi.org/10.1017/apa.2014.15.

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ABSTRACT:To compare the options in a decision problem, a common method evaluates for each option the world that would result if the option were realized. This paper argues that one evaluation of an option's world, intrinsic utility, is compositional given a division of an option's world according to the option's consequences and other events. The argument first justifies the norm that an ideal agent should be intrinsically indifferent between two options’ worlds given that she is intrinsically indifferent between the options’ consequences. Then it uses this norm and the existence of intrinsic utilities respecting intrinsic indifference to establish intrinsic utility's compositionality. The results regulate human agents when they approximate ideal agents in pertinent respects. The paper begins with a general explanation of compositionality; the related phenomena of interchangeability, complementarity, and independence; and the effect on compositionality of context and arrangement of a composite's parts. After arguing for intrinsic utility's compositionality, the paper explains its role in decision theory.
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BRANGER, NICOLE, and CHRISTIAN SCHLAG. "OPTION BETAS: RISK MEASURES FOR OPTIONS." International Journal of Theoretical and Applied Finance 10, no. 07 (November 2007): 1137–57. http://dx.doi.org/10.1142/s0219024907004585.

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This paper deals with the problem of determining the correct risk measure for options in a Black–Scholes (BS) framework when time is discrete. For the purposes of hedging or testing simple asset pricing relationships previous papers used the "local", i.e., the continuous-time, BS beta as the measure of option risk even over discrete time intervals. We derive a closed-form solution for option betas over discrete return periods where we distinguish between "covariance betas" and "asset pricing betas". Both types of betas involve only simple Black–Scholes option prices and are thus easy to compute. However, the theoretical properties of these discrete betas are fundamentally different from those of local betas. We also analyze the impact of the return interval on two performance measures, the Sharpe ratio and the Treynor measure. The dependence of both measures on the return interval is economically significant, especially for OTM options.
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Wei, Tao, Fangpei Yang, and Hao Yu. "Pricing Asian Lookback Option based on Monte Carlo simulation." BCP Business & Management 26 (September 19, 2022): 775–87. http://dx.doi.org/10.54691/bcpbm.v26i.2038.

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With the emergence and development of exotic options, the diversity of securities has largely increased. However, existing types of popular exotic options seem to be either limited or inflexible to satisfy buyers' personal needs. As for the Lookback option and Asian option, the Lookback option’s application is limited in the OTC area with a high price. The Asian option is cheap but used mostly for hedging, leaving relatively little space for speculating. Thus, we created a new exotic option called the Asian Lookback option (ALB) as a combination and derivative of these two options with a flexible implementing way enabling both the requirements for hedging and speculating. In the process of building the model of ALB, these two options’ models are referenced, together with the widely used option pricing method Monte Carlo Simulations based on the assumptions of the Black-Scholes model. To simulate the practical function and price of ALB, we set a control experiment of the prices of four options: two types of ALB, Asian option, and Lookback option in three different markets (S&P 500, Corn, COMEX Gold). It is shown that the price of ALB can be switched from Asian-like to Lookback-like, realizing the function of customized usage from hedging to speculating. These results shed light on a more flexible and personalized development tendency of derivatives.
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Muthu, Subramanian Senthilkannan, Yi Li, J. Y. Hu, P. Y. Mok, and Xuemei Ding. "Eco-Impact of Plastic and Paper Shopping Bags." Journal of Engineered Fibers and Fabrics 7, no. 1 (March 2012): 155892501200700. http://dx.doi.org/10.1177/155892501200700103.

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This article describes the study of the eco-impact of plastic and paper bags using the life cycle impact assessment (LCIA) technique under three different options: usage and disposal criteria with the existing usage behavior to reuse and governmental policies to recycle (option1), usage and disposal criteria as per consumers’ perceptions if systems are in place (option2) and usage and disposal criteria in case of absence of recycling systems (option3). The first stage, which was the baseline for other options, comprised of the study of the eco-impact of plastic and paper bags in the manufacturing phase, without considering the usage and disposal phases. LCIA was performed by the Eco-indicator 99, a damage oriented method for LCIA in SIMAPRO 7.1. The single score values calculated by the Eco-indicator'99 were considered as a directive to compare the environmental impact made by plastic and paper bags and a detailed explanation of the results is provided in this article. The next stage was the study of the eco-impact of these bags including their usage and disposal phases. This was undertaken with the three different options as stated above and the results derived were compared with the results derived from the baseline study, which is the main focus of the study under discussion. The values for usage and end-of-life phases were obtained from the questionnaire survey of different user groups of shopping bags in China, Hong Kong and India. The results of this study show that the eco-impact of plastic and paper bags was very high if there were no usage and disposal options provided. When the eco-impact values from options of existing possibilities and consumers’ perception were compared, the eco-impact value was lower in option 1 in all the three countries for both types of bags, which is mainly attributed to the fact that in option 1, a higher percentage of reuse is preferred to recycle and disposal to landfill categories. Also the eco-impact of these two types of bags was studied with and without the presence of recycling systems in China, India and Hong Kong, where the eco-impact was lower due to the presence of recycling systems. The results indicate that a higher percentage of reuse could significantly trim down the eco-impact of plastic and paper bags. Consumers’ perceptions and usage behaviors in connection with respective government's policies and implementation of recycling systems could be highly decisive in reducing the eco-impact of plastic and paper shopping bags.
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Mohrschladt, Hannes, and Judith C. Schneider. "Option-implied skewness: Insights from ITM-options." Journal of Economic Dynamics and Control 131 (October 2021): 104227. http://dx.doi.org/10.1016/j.jedc.2021.104227.

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Guillaume, Tristan. "Multitouch Options." Journal of Risk and Financial Management 16, no. 6 (June 14, 2023): 300. http://dx.doi.org/10.3390/jrfm16060300.

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In this article, the multitouch option, also called the n-touch option (or the “baseball” option when n=3) is analyzed and valued in closed form. This is a kind of barrier option that has been traded for a long time on the markets, but that does not yet admit a known valuation formula. The multitouch option sets a gradual knock-out/knock-in mechanism based on the number of times the underlying asset has crossed a predefined barrier in various time intervals before expiry. The higher the number of predefined time intervals during which the barrier has been touched, the lower the value of a knock-out contract at expiry, and conversely for a knock-in one. Multitouch options can be viewed as an extension of step barrier options, preserving the ability of the latter to adjust the exposure to risk over time, while eliminating the notorious danger of “sudden death” that holders of step barrier options are faced with. They are thus less risky and more flexible than step barrier options, and all the more so when compared to standard barrier options. This article also provides closed-form valuation of multitouch options with nonstandard features such as an outside barrier or a barrier defined as a continuous function of time.
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Dissertations / Theses on the topic "Options"

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Matsumoto, Manabu. "Options on portfolios of options and multivariate option pricing and hedging." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324627.

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OLIVEIRA, ANDRE GIUDICE DE. "ANALYZING BMFEFBOVESPA REFERENCE OPTION PREMIUM: DOLLAR OPTIONS AND IBOVESPA FUTURES OPTIONS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=20448@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
O objetivo deste trabalho é realizar uma comparação entre os prêmios de referência da BMEFBovespa e os modelos de Garman Kohlhagen, Corrado-Su Modificado, Difusão com Saltos de Merton, Black e o modelo de Black adaptado para assimetria e curtose para o apreçamento de opções de dólar e sobre futuro de Ibovespa. Para isso, foram definidos cenários de análise e comparados os resultados com os prêmios de referência calculados pela BMEFBovespa no período janeiro de 2006 a setembro de 2011. Os resultados obtidos mostram que, em grande parte dos casos, os prêmios de referência calculados pela Bolsa são superestimados, além de revelar que os valores calculados pelos três modelos para as opções de compra e de venda de dólar e de futuro de Ibovespa encontram-se muito próximos.
This paper proposes a comparison between option reference premiums supplied by BMEF Bovespa and those obtained by the following models: Garman Kohlhagen, modified Corrado-Su, Merton s jump diffusion model, Black and an alternative version of the model, adapted for asymmetry and kurtosis. The underlying assets are futures contracts for Reais/Dolars exchange rate and Ibovespa futures contracts. Base scenarios were created and the results were compared between the models for the January 2006 – September 2011 period. The results show that the majority of the premiums calculated by BMEF Bovespa are overestimated when compared to the proposed models. Furthermore, the results obtained by this models are very similar to one another.
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Neset, Yngvild. "Spectral Discretizations of Option Pricing Models for European Put Options." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-26546.

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The aim of this thesis is to solve option pricing models efficiently by using spectral methods. The option pricing models that will be solved are the Black-Scholes model and Heston's stochastic volatility model. We will restrict us to pricing European put options. We derive the partial differential equations governing the two models and their corresponding weak formulations. The models are then solved using both the spectral Galerkin method and a polynomial collocation method. The numerical solutions are compared to the exact solution. The exact solution is also used to study the numerical convergence. We compare the results from the two numerical methods, and look at the time consumptions of the different methods. Analysis of the methods are also given. This includes coercivity, continuity, stability and convergence estimates.For Black-Scholes equation, we study both the original equation and the log transformed equation, and we also compare the results to a solution obtained by using a finite element method solver.
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Chen, Kwok-wang. "Evaluation of market efficiency of stock options in Hong Kong /." Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18837372.

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Gauthier, Laurent. "Options réelles et options exotiques, une approche probabiliste." Phd thesis, Paris 1, 2002. http://www.theses.fr/2002PA010057.

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Cet ouvrage se concentre sur la valorisation et la couverture d'options financières non traitées sur les marchés, les options réelles, qui servent à évaluer des décisions optimales d'investissement. L'objectif de cette thèse est de montrer comment la théorie des options réelles bénéficie des apports des méthodes probabilistes employées pour les options exotiques. L'approche classique des options réelles privilégie l'utilisation de techniques d'équations différentielles, et nous proposons d'évaluer des projets d'investissement en appliquant des méthodes très probabilistes. Cette distinction de méthode permet de généraliser l'approche classique du problème, et d'obtenir des résultats analytiques dans des situations où une technique d'équation différentielle ne le permettrait pas. Nous abordons la valorisation de projets d'investissement sous certaines contraintes particulières : lorsqu’il existe un délai incompressible entre la prise de décision et sa mise en oeuvre, lorsqu'il existe une compétition entre acteurs de caractéristiques différentes, et lorsque l'information sur le marché est imparfaite. Egalement, nous étudions des problèmes de couverture: comment couvrir des options réelles complexes de la manière la plus efficace lorsqu'il existe des coûts de transaction, et comment une nouvelle classe de produits dérivés qui s'apparentent aux options barrières permet de couvrir le risque lié à l’exercice des options réelles. Finalement, nous nous penchons sur la décision optimale d'investissement lorsque l'on peut manipuler le marché; un agent économique qui possède une information privilégiée peut intervenir sur le marché, et influencer la valeur des titres. Les outils mathématiques utilisés sont surtout probabilistes, essentiellement la théorie des excursions, les temps locaux et le contrôle stochastique. Plusieurs nouveaux résultants sont démontrés, concernant en particulier les temps de passage du Brownien et la théorie des excursions.
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Gauthier, Laurent. "Options Réelles et Options Exotiques, une Approche Probabiliste." Phd thesis, Université Panthéon-Sorbonne - Paris I, 2002. http://tel.archives-ouvertes.fr/tel-00002076.

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Cet ouvrage se concentre sur la valorisation et la couverture d'options financières non traitées sur les marchés, les options réelles, qui servent à évaluer des décisions optimales d'investissement en capital pour des entreprises. L'existence pour une entreprise d'un projet d'investissement s'apparente en effet à la possession d'une option financière: l'entreprise possède l'option d'attendre le moment le plus favorable pour lancer son projet. Pour valoriser l'intérêt économique d'un projet, il convient alors de calculer la valeur de l'option d'investir. L'objectif de cette thèse est de montrer comment la théorie des options réelles peut bénéficier des apports des méthodes habituellement employées pour les options exotiques. A la différence de l'approche classique dans le domaine des options réelles, qui privilégie l'utilisation de techniques d'équations différentielles, nous proposons dans cette thèse d'évaluer des projets d'investissement en appliquant des méthodes très probabilistes. Cette distinction de méthode permet non seulement de généraliser l'approche classique du problème, mais encore d'obtenir des résultats analytiques dans des situations ou une technique d'équation différentielle ne permettrait pas de résoudre le problème. Dans cette thèse, nous abordons spécifiquement des problèmes de valorisation de projets d'investissement sous certaines contraintes particulières : lorsqu'il existe un délai incompressible entre la prise de décision et sa mise en oeuvre, lorsqu'il existe une compétition entre deux acteurs économiques de caractéristiques différentes, et lorsque l'information sur le marché de l'entreprise est imparfaite. Egalement, nous étudions des problèmes de couverture de ces projets d'investissement : comment couvrir des options réelles qui sont un peu complexes de la manière la plus efficace lorsqu'il existe des coûts de transaction sur les actifs financiers, et comment une nouvelle classe de produits dérivés qui s'apparentent aux options barrières permet de couvrir le risque lié à l'exercice des options réelles. Finalement, nous nous penchons sur la décision optimale d'investissement lorsque l'on peut manipuler le marché : un agent économique qui possède une information privilégiée sur la valeur d'une entreprise peut intervenir sur le marché afin de l'utiliser, et par la même occasion influencer la valeur des titres émis par l'entreprise. Quelle est sa stratégie optimale ? Les outils mathématiques utilisés sont surtout probabilistes, essentiellement la théorie des excursions, les temps locaux et le contrôle stochastique. Plusieurs nouveaux résultants sont démontrés, concernant en particulier les temps de passage du Brownien et la théorie des excursions.
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Gunnarsson, Niklas. "Barrier options." Thesis, Uppsala University, Department of Mathematics, 2002. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-122338.

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Nilsson, Martin, and Gustaf Kristiansson. "Options Based on CO2 Emissions : A Comparison with Traditional Options." Thesis, Högskolan i Halmstad, Sektionen för ekonomi och teknik (SET), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-3615.

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Abstract Title: Options Based on CO2 Emissions: A Comparison with Traditional Options Seminar date: 2009-06-17 Course: Bachelor thesis in business administration, 15 ECTS Authors: Gustaf Kristiansson, Martin Nilsson Instructor: Bengt Kjellgren Key words: Black & Scholes, Certified Emission Reductions, emission markets, European Union Allowances, options, pricing Purpose: This study intends to compare traditional options with the CO2 based instruments EUAs and CERs options in the fields of pricing, cap and trade, political influence, economical effects and market function. Methodology: A combined research methodology is used in this study, which includes both a quantitative and a qualitative approach. A deductive research approach is brought out over the whole study. Theoretical perspectives: The theoretical framework is based upon previous empirical research concerning the fields in this study. The Black & Scholes formula for option pricing has a central position. Empirical foundation: Market data has been used to analyse the field of pricing. Interviews have been conducted with actors on the European emission trading market for a further understanding of cap and trade, political influence, economical effects and market function. Conclusions: We have in this research identified that the CO2 based market differs from the financial market when it comes to political decisions and price fluctuation. We have also identified that the CO2 based market is not mature enough for a complete internationalisation.
En formell presentation utfördes ej pga utlandsstudier.
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El, Aoud Sofiene. "Dynamique jointe stock/option et application aux stratégies de trading sur options." Thesis, Châtenay-Malabry, Ecole centrale de Paris, 2015. http://www.theses.fr/2015ECAP0020/document.

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Cette thèse explore théoriquement et empiriquement les implications de la dynamique jointe action/option sur divers problématiques liées au trading d’options. Dans un premier temps, nous commençons par l’étude de la dynamique jointe entre une option sur un stock et une option sur l’indice de marché. Le modèle CAPM fournit un cadre mathématique adéquat pour cette étude car il permet de modéliser la dynamique jointe d’un stock et son indice de marché. En passant aux prix d’options, nous montrons que le beta et la volatilité idiosyncratique, paramètres du modèle, permettent de caractériser la relation entre les surfaces de volatilité implicite du stock et de l’indice. Nous nous penchons alors sur l’estimation du paramètre beta sous la probabilité risque-neutre en utilisant les prix d’options. Cette mesure, appelée beta implicite, représente l’information contenue dans les prix d’options sur la réalisation du paramètre beta dans le futur.Pour cette raison, nous essayons de voir, si le beta implicite a un pouvoir prédictif du beta futur.En menant une étude empirique, nous concluons que le beta implicite n’améliore pas la capacité de prédiction en comparaison avec le beta historique qui est calculé à travers la régression linéaire des rendements du stock sur ceux de l’indice. Mieux encore, nous remarquons que l’oscillation du beta implicite autour du beta futur peut entraîner des opportunités d’arbitrage, et nous proposons une stratégie d’arbitrage qui permet de monétiser cet écart. D’un autre côté, nous montrons que l’estimateur du beta implicite pourrait être utilisé pour la couverture d’options sur le stock en utilisant des instruments sur l’indice, cette couverture concerne notamment le risque de volatilité et aussi le risque de delta. Dans la deuxième partie de notre travail, nous nous intéressons au problème de market making sur options. Dans cette étude, nous supposons que le modèle de dynamique du sous-jacent sous la probabilité risque-neutre pourrait être mal spécifié ce qui traduit un décalage entre la distribution implicite du sous-jacent et sa distribution historique.Dans un premier temps, nous considérons le cas d’un market maker risque neutre qui vise à maximiser l’espérance de sa richesse future. A travers l’utilisation d’une approche de contrôle optimal stochastique, nous déterminons les prix optimaux d’achat et de vente sur l’option et nous interprétons l’effet de présence d’inefficience de prix sur la stratégie optimale. Dans un deuxième temps, nous considérons que le market maker est averse au risque et essaie donc de réduire l’incertitude liée à son inventaire. En résolvant un problème d’optimisation basé sur un critère moyenne-variance, nous obtenons des approximations analytiques des prix optimaux d’achat et de vente. Nous montrons aussi les effets de l’inventaire et de l’inefficience du prix sur la stratégie optimale. Nous nous intéressons par la suite au market making d’options dans une dimension plus élevée. Ainsi, en suivant le même raisonnement, nous présentons un cadre pour le market making de deux options ayant des sous-jacents différents avec comme contrainte la réduction de variance liée au risque d’inventaire détenu par le market-maker. Nous déterminons dans ce cas la stratégie optimale et nous appuyons les résultats théoriques par des simulations numériques.Dans la dernière partie de notre travail, nous étudions la dynamique jointe entre la volatilité implicite à la monnaie et le sous jacent, et nous essayons d’établir le lien entre cette dynamique jointe et le skew implicite. Nous nous intéressons à un indicateur appelé "Skew Stickiness Ratio"qui a été introduit dans la littérature récente. Cet indicateur mesure la sensibilité de la volatilité implicite à la monnaie face aux mouvements du sous-jacent. Nous proposons une méthode qui permet d’estimer la valeur de cet indicateur sous la probabilité risque-neutre sans avoir besoin d’admettre des hypothèses sur la dynamique du sous-jacent. [...]
This thesis explores theoretically and empirically the implications of the stock/option joint dynamics on applications related to option trading. In the first part of the thesis, we look into the relations between stock options and index options under the risk-neutral measure. The Capital Asset Pricing Model offers an adequate mathematical framework for this study as it provides a modeling approach for the joint dynamics between the stock and the index. As we compute option prices according to this model, we find out that the beta and the idiosyncratic volatility of the stock, which are parameters of the model, characterize the relation between the implied volatility surface of the stock and the one of the index. For this reason, we focus on the estimation of the parameter beta under the risk-neutral measure through the use of option prices.This measure, that we call implied beta, is the information contained in option prices concerning the realization of the parameter beta in the future. Trying to use this additional information, we carry out an empirical study in order to investigate whether the implied beta has a predictive power of the forward realized beta. We conclude that the implied beta doesn’t perform better than the historical beta which is estimated using the linear regression of the stock’s returns onthe index returns. We conclude also that the oscillation of the implied beta around the forward realized beta can engender arbitrage opportunities, and we propose an arbitrage strategy which enables to monetize this difference. In addition, we show that the implied beta is useful to hedge stock options using instruments on the index. In the second part of our work, we consider the problem of option market making. We suppose that the model used to describe the dynamics of the underlying under the risk-neutral probability measure can be misspecified which means thatthe implied distribution of the underlying may be different from its historical one. We consider first the case of a risk neutral market maker who aims to maximize the expectation of her final wealth. Using a stochastic control approach, we determine the optimal bid and ask prices on the option and we interpret the effect of price inefficiency on the optimal strategy. Next to that, we suppose that the market maker is risk averse as she tries to minimize the variance of her finalwealth. We solve a mean-variance optimization problem and we provide analytic approximations for the optimal bid and ask prices. We show the effects of option inventory and price inefficiency on the optimal strategy. We try then to extrapolate the study to a higher dimension in order to see the effect of joint dynamics of the different underlyings on the optimal strategy. Thus, we study market making strategies on a pair of options having different underlyings with the aim to reduce the risk due to accumulated inventories in these two options. Through the resolution of the HJB equation associated to the new optimization problem, we determine the optimal strategy and we support our theoretical finding with numerical simulations. In the final part of the thesis, we study the joint dynamics of the at-the-money implied volatility and the spot process. We try to establish a relation between this joint dynamics and the implied skew through the use of a quantity called the Skew Stickiness Ratio which was introduced in the recent literature. The Skew Stickiness Ratio quantifies the effect of the log-return of the spot on the increment of theat-the-money volatility. We suggest a model-free approach for the estimation of the SSR (Skew Stickiness Ratio) under the risk-neutral measure, this approach doesn’t depend on hypothesis on the dynamics of the underlying. [...]
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Hales, Stanley J. "Valuation of foreign currency options with the Paretian stable option pricing model /." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1269364712.

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Books on the topic "Options"

1

Thomsett, Michael C. Getting Started in Options. New York: John Wiley & Sons, Ltd., 2005.

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Kolb, Robert W. Options. 3rd ed. Malden, Mass: Blackwell Publishers, 1997.

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Clarke, Elton. Options. [USA]: BMI, 1985.

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Lynam, Sandy. Options. Milton Keynes: Chalkface Project, 1992.

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Lynam, Sandy. Options. Stevenage: Jonquil Publishing, 1986.

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Gastineau, Gary L. The options manual. 3rd ed. New York: McGraw-Hill, 1988.

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Thomsett, Michael C. Getting Started in Options. New York: John Wiley & Sons, Ltd., 2007.

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Getting started in options. 2nd ed. New York: Wiley, 1993.

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Thomsett, Michael C. Getting started in options. 3rd ed. New York: John Wiley & Sons, 1997.

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Thomsett, Michael C. Getting started in options. New York: Wiley, 1989.

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Book chapters on the topic "Options"

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Schoenmaker, Dirk, and Willem Schramade. "Options." In Springer Texts in Business and Economics, 579–622. Cham: Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-35009-2_19.

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AbstractFinancial options are contracts that give the owner the right to buy (in the case of a call option) or sell (in the case of a put option) a security at a pre-specified price (the exercise price). The flexibility is on the side of the buyer, but the seller is compensated with a premium paid by the buyer. Sophisticated models have been developed to determine the value of options. Options are interesting since they offer an alternative way of tying payoffs to (future) situations, also outside of contractual settings. In that case, they are called real options. Real options come in various types, such as the option to delay, the option to expand, and the option to abandon. One can analyse many situations as combinations of options, and one can visualise them with decision trees and payoff graphs for a better intuitive grasp of situations.Real options on financial (F) factors can have environmental (E) or social (S) drivers: payoff in terms of F, but with E or S as the underlying values. There are also real options on E and S themselves, i.e. with the payoffs in terms of E and S, and possibly the underlying values as well. In fact, companies are short a lot of options against society, but awareness of it is low. The interactions between F, S, and E options call for an integrated view on options, which helps make these options and their trade-offs more explicit.
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Georgakopoulos, Nicholas L. "Options." In Illustrating Finance Policy with Mathematica, 73–93. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-95372-4_6.

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Ang, Clifford S. "Options." In Springer Texts in Business and Economics, 303–31. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-14075-9_9.

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Chan, Raymond H., Yves ZY Guo, Spike T. Lee, and Xun Li. "Options." In Financial Mathematics, Derivatives and Structured Products, 67–85. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-3696-6_8.

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Pilbeam, Keith. "Options." In Finance and Financial Markets, 362–87. London: Macmillan Education UK, 2005. http://dx.doi.org/10.1007/978-1-349-26273-1_14.

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Rutterford, Janette. "Options." In Introduction to Stock Exchange Investment, 186–229. London: Macmillan Education UK, 1993. http://dx.doi.org/10.1007/978-1-349-23045-7_7.

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Kakushadze, Zura, and Juan Andrés Serur. "Options." In 151 Trading Strategies, 5–39. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-02792-6_2.

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Rutterford, Janette, and Marcus Davison. "Options." In An Introduction to Stock Exchange Investment, 305–54. London: Macmillan Education UK, 2007. http://dx.doi.org/10.1007/978-0-230-21350-0_9.

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Davis, Morton D. "Options." In The Math of Money, 163–84. New York, NY: Springer New York, 2001. http://dx.doi.org/10.1007/978-1-4757-4334-0_10.

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Guerard, John B., and Eli Schwartz. "Options." In Quantitative Corporate Finance, 393–414. Boston, MA: Springer US, 2007. http://dx.doi.org/10.1007/978-0-387-34465-2_16.

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Conference papers on the topic "Options"

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Abel, David, John Winder, Marie desJardins, and Michael Littman. "The Expected-Length Model of Options." In Twenty-Eighth International Joint Conference on Artificial Intelligence {IJCAI-19}. California: International Joint Conferences on Artificial Intelligence Organization, 2019. http://dx.doi.org/10.24963/ijcai.2019/270.

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Effective options can make reinforcement learning easier by enhancing an agent's ability to both explore in a targeted manner and plan further into the future. However, learning an appropriate model of an option's dynamics in hard, requiring estimating a highly parameterized probability distribution. This paper introduces and motivates the Expected-Length Model (ELM) for options, an alternate model for transition dynamics. We prove ELM is a (biased) estimator of the traditional Multi-Time Model (MTM), but provide a non-vacuous bound on their deviation. We further prove that, in stochastic shortest path problems, ELM induces a value function that is sufficiently similar to the one induced by MTM, and is thus capable of supporting near-optimal behavior. We explore the practical utility of this option model experimentally, finding consistent support for the thesis that ELM is a suitable replacement for MTM. In some cases, we find ELM leads to more sample efficient learning, especially when options are arranged in a hierarchy.
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Scott, Bradley J. "Risk-Informed In-Service Testing Programs." In ASME/NRC 2017 13th Pump and Valve Symposium. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/pvs2017-3527.

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This paper will review three options for applying risk insights to the In-service Testing (IST) Program for pumps and valves. Current regulatory framework allows for risk-informing pump and valve testing through the implementation of 10CFR50.69 or by submittal to the NRC per 10CFR50.55a for risk-informed testing in accordance with the OM Code; either using Code Case OMN-3 and the risk-related Code Cases or Subsection ISTE. This paper will offer a third option which involves the combination of the first two options. Each of these IST risk-informed program options will be explored by presenting a general discussion of each option’s risk ranking process and anticipated risk ranking results. The risk ranking review will be followed by a discussion of the implementation processes and finally a look at plant impacts and potential benefits for each option. IST program scope and testing requirements will be identified for each of these risk-informed program options. References for the implementation processes will be provided and used for the basis of this discussion. The intent of this paper is not to provide a “how to” for each of these options, but rather to provide information to the reader to allow further detailed review of each option. It is expected that through further investigation of these options and discussions with plant management each site may find the option/process that best suits their regulatory and plant safety culture. Paper published with permission.
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Hozman, Jiří, and Tomáš Tichý. "DGM for real options valuation: Options to change operating scale." In Programs and Algorithms of Numerical Mathematics 21. Institute of Mathematics, Czech Academy of Sciences, 2023. http://dx.doi.org/10.21136/panm.2022.08.

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The real options approach interprets a flexibility value, embedded in a project, as an option premium. The object of interest is to valuate real options to change operating scale, typical for natural resources industry. The evolution of the project as well as option prices is decribed by partial differential equations of the Black-Scholes type, linked through a payoff function given by a type of the flexibility provided. The governing equations are discretized by the discontinuous Galerkin method over a finite element mesh and they are integrated in temporal variable by an implicit Euler scheme. The special attention is paid to the treatment of early exercise feature that is handled by additional penalty term. The capabilities of the approach presented are documented on the selected individual real options from the reference experiments using real market data.
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Reasenberg, Robert D. "POINTS Optics: Challenges and Options." In Space Optics for Astrophysics and Earth and Planetary Remote Sensing. Washington, D.C.: Optica Publishing Group, 1991. http://dx.doi.org/10.1364/soa.1991.tuc2.

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It has been widely recognized for several years that interferometric instruments will play a major role in many aspects of space-based optical astronomy. More recently, optical interferometry received very favorable treatment in the AASC (Bahcall Committee) report and the POINTS mission is a close match to the Astrometric Interferometry Mission that the report lists as a moderate space-based program. In the next century, milliarcsecond-and submilliarcsecond-resolution images will likely be obtained from interferometric instruments deployed in space. An important precursor to such imaging instruments is a small astrometric optical interferometer. (Recommendations of the Interferometry Panel of the AASC.)
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Wemimo, Oluwasegun, Olisaemeka Osadebe, Daniel Amuda, Shankar Bhat, and John Ugbelase. "SCR Fatigue Mitigation Options for Life Extension." In SPE Nigeria Annual International Conference and Exhibition. SPE, 2023. http://dx.doi.org/10.2118/217223-ms.

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Abstract Steel Catenary Risers (SCRs) are typically designed to meet requirement for the field life. However, with a possibility for an opportunity for life extension (LE), a remaining life reassessment (RLA) is necessary to be carried out to explore options to extend the life within the SCR integrity framework requirements. It is noted that replacing the whole or specific portion of length of the SCR is not considered as an economically and practically viable option. Several SCR fatigue damage reduction options have been explored for life extension considerations in the industry and the practicality of implementing them to specific field leads to only few choices due to the complexities involved in executing these options. The complexities arise in the execution as the fatigue damage reduction options will require careful re-assessment of floating system performance that includes floater motion, global riser behavior, and mooring system performance. This paper aims to present findings from the fatigue re-assessment as well as the thought process and needed considerations to selecting a mitigation option that is purpose-fit given the value drivers as well as constraints for a typical floater in West Africa deep-water. This is considering that within the West of Africa deep-water fields, this is the first time a practical approach is given to solve the fatigue life extension The fatigue reassessment incorporates as-occurred data parameters that affect global system performance of the SCRs. The fatigue mitigation options considered are repositioning of floater, use of buoyancy modules at midsections of the SCR, and increase in Vortex Induced Vibration (VIV) strakes coverage length. Each of these considered options are analyzed with pros and cons of each option, reviewed to arrive at a purpose fit option. This paper further gives practical insight to how oil and gas industry operators in the Gulf of Guinea region who are considering SCR life extension, can see to integrate methodological steps in seeking solutions to extending field life while maintaining asset integrity. It also highlights the impact of technology and digitalization on asset integrity management. This strategy provides affordability to create earnings from today's energy to fund the energy for future needs.
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Halstead, S. "Soft options." In IEE Half-Day Colloquium. Management of Soft Projects. IEE, 1999. http://dx.doi.org/10.1049/ic:19990409.

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Halstead, S. "Soft options." In IEE Afternoon Seminar. Management of Soft Projects: the People Issues. IEE, 1999. http://dx.doi.org/10.1049/ic:19990915.

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Heredia-Zavoni, Ernesto, and Sandra Santa-Cruz. "Maintenance Decisions for Offshore Structures Using Real Options Theory." In ASME 2004 23rd International Conference on Offshore Mechanics and Arctic Engineering. ASMEDC, 2004. http://dx.doi.org/10.1115/omae2004-51467.

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Real Options methods are currently used to assess investment projects considering: (1) the decision options that one can have along the development of the project, such as to expand it, or reduce it, or to abandon it, or to differ it, and (2) the uncertainty in some financial variables for the assessment of the economic investment. In these two regards, Real Options methods are superior to the traditional Net Present Value method. The purpose of the present paper is to establish the basis for Real Options modeling for decision making on design, inspection, maintenance, and decommissioning of offshore structures. The use of Real Options theory is sought in order to account for: (1) uncertainties in the financial variables involved in risk assessment based on expected costs, such as the economic consequences due to failure of a system; and (2) uncertainties associated with the resistance and loading of the structure for reliability assessment. An application of Real Options Theory is given in the paper for decision making on maintenance for an offshore structure. Cash flow from oil revenue is modeled as a stochastic process. Preventive and corrective maintenance is analyzed as a critical situation where the decision maker has the option to pay the costs of maintenance in order to obtain a benefit. Expressions are derived for the estimation of the value of the maintenance option; they are based on the derivation of the Black-Scholes equation for the evaluation of financial options. It is shown that the value of such project is equal to the sum of the net cash flow of the project (as with a Net Present Value evaluation) plus the value of the maintenance option. Projects with one and two decision times along the life of the structure are formulated and analyzed. Closed form solutions are obtained for such cases. An example is given in order to illustrate the differences between maintenance decisions using the Net Present Value and the Real Options method.
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Kabaivanov, Stanimir, Mariyan Milev, Dessislava Koleva-Petkova, and Veselin Vladev. "Efficient option valuation of single and double barrier options." In PROCEEDINGS OF THE 43RD INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS: (AMEE’17). Author(s), 2017. http://dx.doi.org/10.1063/1.5013939.

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Ramesh, Rahul, Manan Tomar, and Balaraman Ravindran. "Successor Options: An Option Discovery Framework for Reinforcement Learning." In Twenty-Eighth International Joint Conference on Artificial Intelligence {IJCAI-19}. California: International Joint Conferences on Artificial Intelligence Organization, 2019. http://dx.doi.org/10.24963/ijcai.2019/458.

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The options framework in reinforcement learning models the notion of a skill or a temporally extended sequence of actions. The discovery of a reusable set of skills has typically entailed building options, that navigate to bottleneck states. In this work, we instead adopt a complementary approach, where we attempt to discover options that navigate to landmark states. These states are prototypical representatives of well-connected regions and can hence access the associated region with relative ease. In this work, we propose Successor Options, which leverages Successor representations to build a model of the state space. The intra-option policies are learnt using a novel pseudo-reward and the model scales to high-dimensional spaces since it does not construct an explicit graph of the entire state space. Additionally, we also propose an Incremental Successor Options model that iterates between constructing Successor representations and building options, which is useful when robust Successor representations cannot be built solely from primitive actions. We demonstrate the efficacy of our approach on a collection of grid-worlds, and on the high-dimensional robotic control environment of Fetch.
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Reports on the topic "Options"

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Rojas-Bernal, Alejandro, and Mauricio Villamizar-Villegas. Pricing the exotic: Path-dependent American options with stochastic barriers. Banco de la República de Colombia, March 2021. http://dx.doi.org/10.32468/be.1156.

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We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the model matches observed bids and premiums of multidimensional options that integrate Ratchet, Asian, and Barrier characteristics; and (iii) our closed-form approximation allows for an analytical solution of the option’s greeks, which characterize the sensitivity to various risk factors. Finally, we highlight that our estimation requires less than 1% of the computational time compared to other standard methods, such as Monte Carlo simulations.
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Dyer, Jessica. Transportation Options. Office of Scientific and Technical Information (OSTI), June 2024. http://dx.doi.org/10.2172/2372672.

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King, David, and Richard Zeckhauser. Congressional Vote Options. Cambridge, MA: National Bureau of Economic Research, September 1999. http://dx.doi.org/10.3386/w7342.

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R. Wigeland, T. Taiwo, M. Todosow, W. Halsey, and J. Gehin. AFCI Options Study. Office of Scientific and Technical Information (OSTI), September 2009. http://dx.doi.org/10.2172/978356.

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Koski, J. A., N. R. Keltner, and K. B. Sobolik. Thermal test options. Office of Scientific and Technical Information (OSTI), February 1993. http://dx.doi.org/10.2172/10178564.

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Wright, Jonathan. Event-day Options. Cambridge, MA: National Bureau of Economic Research, December 2020. http://dx.doi.org/10.3386/w28306.

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Back, Kerry, Bruce Carlin, Seyed Mohammad Kazempour, and Chloe Xie. American Disclosure Options. Cambridge, MA: National Bureau of Economic Research, December 2023. http://dx.doi.org/10.3386/w31935.

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P. GEHNER, E.M. WEAVER, and L. FOSSUM. Nevada Transportatoion Options Study. Office of Scientific and Technical Information (OSTI), May 2006. http://dx.doi.org/10.2172/899335.

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R. Wigeland, T. Taiwo, M. Todosow, W. Halsey, and J. Gehin. Options Study - Phase II. Office of Scientific and Technical Information (OSTI), September 2010. http://dx.doi.org/10.2172/1009149.

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Hakkila, E. A., M. F. Mullen, C. T. Olinger, W. D. Stanbro, A. P. Olsen, C. T. Roche, R. R. Rudolph, A. M. Bieber, J. Lemley, and E. Filby. The safeguards options study. Office of Scientific and Technical Information (OSTI), April 1995. http://dx.doi.org/10.2172/45556.

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