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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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Brooks, Chad M., David E. Moore e Edward J. White. "Outsourcing Options to Finance Navy Recapitalization". Monterey, California. Naval Postgraduate School, 2004. http://hdl.handle.net/10945/9888.
Testo completoAbstract (sommario):
MBA Professional ReportNavy leadership is searching for ways to finance urgent fleet recapitalization despite severely limited resources. This study exposes the enormity of the recapitalization challenge using budget forecasting and ratio analysis to frame potential trade-offs among major Navy appropriations that would achieve programmed procurement targets. We illustrate the organizational and operational challenges associated with even small tradeoffs and also examine the increasingly common practice of competitive sourcing using private-sector risk criteria popularized in business literature. Our research suggests that current recapitalization goals are financially untenable without significant Defense restructuring. We show with a Marine Corps rescission example that implementing the trade-offs suggested by our analysis would challenge the very way DoD does business. However, we find that the early success of Sea Enterprise in identifying business efficiencies offers the best promise for success. We caution that competitive sourcing must not be purely cost-driven but rather a strategic approach to managing risk. We offer perspectives and considerations beyond the outsourcing roadmap currently provided by OMB Circular A-76. This study is intended for Navy leaders and other stakeholders who are evaluating the factors constraining fleet re-capitalization, considering the practical ramifications of looming financing decisions, and weighing the strategic and operational risks of competitive sourcing.
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Martin, David. "Les options fondamentales de la finance moderneDomestication sociologique d'un produit financier". Phd thesis, Université Toulouse le Mirail - Toulouse II, 2005. http://tel.archives-ouvertes.fr/tel-00158032.
Testo completoAbstract (sommario):
Cette thèse propose une façon sociologique de domestiquer un objet peu familier: le produit financier. Le cas retenu est celui de l'option: un des produits dérivés les plus controversés, qui s'est trouvé au coeur de la question sociale résurgente du "pouvoir de la finance". Ce travail s'inscrit dans une dynamique de recherche plus globale de reconquête des objets financiers par les sciences sociales entrepris depuis quelques années en France et au niveau international. En adoptant un centrage du regard sur le "produit" lui-même, l'auteur développe un ensemble d'opérations de recherches qui permettent de dessiner l'espace social (et technique) qui fait la teneur du produit. Un premier travail d'anthropologie historique propose alors de soumettre l'option financière à une "anamnèse" qui remonte à Babylone pour revenir à Amsterdam (17ème siècle) avec une étape par la Grèce de Thalès et Aristote. L'option s'avère alors relever d'un espace social solidaire d'un ordre politique et religieux.
Néanmoins, le caractère trans-historique de ce "Phénix financier" laisse inexpliquée la spectaculaire transformation quantitative et qualitative subie par les produits dérivés contemporains sur les marchés organisés comme sur les marchés de gré à gré. La thèse s'attache alors à suivre le travail d'in-scription comptable et de pré-scription cognitive et formelle (ou juridque) qui sous-tend les transactions à base d'instruments financiers conditionnels. Cette dé-scription du produit donne alors à voir plusieurs modalités concrètes du processus de mondialisation financière.
Au terme de cette analyse, l'écriture collective du produit s'avère fondamentalement prise en charge par "la théorie financière moderne". Ce paradigme financier fait alors l'objet d'une analyse plus attentive sur les relations -descriptives et prescriptives- qu'il a entretenu avec le marché réel au fil de son avénement. A partir d'une mise en évidence de la double spéculation pratique et théorique sur la "volatilité" (qu'ont eu à couvrir ces options), la thèse conclut alors sur la consécration mutuelle et auto-référencielle opérée par la théorie et le marché. Cettte double consécration exprime un visage fondamental du nouvel ordre social, politique et moral de l'option financière moderne.
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Martin, David. "Les options fondamentales de la finance moderne : domestication sociologique d'un produit financier". Toulouse 2, 2005. https://tel.archives-ouvertes.fr/tel-00158032.
Testo completoAbstract (sommario):
Cette thèse propose une façon sociologique de domestiquer un objet peu familier : le produit financier. Le cas retenu est celui de l'option : un des produits dérivés les plus controversés, qui s'est trouvé au coeur de la question sociale résurgente du "pouvoir de la finance". Ce travail s'inscrit dans une dynamique de recherche plus globale de reconquête des objets financiers par les sciences sociales entrepris depuis quelques années en France et au niveau international. En adoptant un centrage du regard sur le "produit" lui-même, l'auteur développe un ensemble d'opérations de recherches qui permettent de dessiner l'espace social (et technique) qui fait la teneur du produit. Un premier travail d'anthropologie historique propose alors de soumettre l'option financière à une "anamnèse" qui remonte à Babylone pour revenir à Amsterdam (17ème siècle) avec une étape par la Grèce de Thalès et Aristote. L'option s'avère alors relever d'un espace social solidaire d'un ordre politique et religieux. Néanmoins, le caractère trans-historique de ce "Phénix financier" laisse inexpliquée la spectaculaire transformation quantitative et qualitative subie par les produits dérivés contemporains sur les marchés organisés comme sur les marchés de gré à gré. La thèse s'attache alors à suivre le travail d'in-scription comptable et de pré-scription cognitive et formelle (ou juridque) qui sous-tend les transactions à base d'instruments financiers conditionnels. Cette dé-scription du produit donne alors à voir plusieurs modalités concrètes du processus de mondialisation financière. Au terme de cette analyse, l'écriture collective du produit s'avère fondamentalement prise en charge par "la théorie financière moderne". Ce paradigme financier fait alors l'objet d'une analyse plus attentive sur les relations -descriptives et prescriptives- qu'il a entretenu avec le marché réel au fil de son avénement. A partir d'une mise en évidence de la double spéculation pratique et théorique sur la "volatilité" (qu'ont eu à couvrir ces options), la thèse conclut alors sur la consécration mutuelle et auto-référencielle opérée par la théorie et le marché. Cettte double consécration exprime un visage fondamental du nouvel ordre social, politique et moral de l'option financière moderne.
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Joo, Tan How. "Tests of options market efficiency : a study of the European Options Exchange". Thesis, University of Glasgow, 1990. http://theses.gla.ac.uk/1872/.
Testo completoAbstract (sommario):
The objective of this study is to provide evidence on the efficiency of the stock options market of the European Options Exchange. `Riskless' spreading and hedging strategies using the Black-Scholes call option pricing model with the Merton dividend adjustment, are used to test market efficiency. The results show that, although for the zero transactions costs case above-normal returns are possible, these returns become negative when the bid-ask spread cost is taken into account. These results persist over the two sample periods studied. Two variations of the trading rule that compute model prices by using the same model but with two different estimators of the standard deviation of the underlying stock's return as inputs to the model, also produce similar results. The study concludes that, with respect to the trading rules used and the sample periods studied, there were no inefficiencies on the stock options market of the European Options Exchange.
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MORELLEC, ERWAN. "Theorie des options et decisions d'investissement et de financement". Jouy-en Josas, HEC, 1998. http://www.theses.fr/1998EHEC0060.
Testo completoAbstract (sommario):
Depuis les articles fondateurs de black et scholes (1973) et merton (1974), l'application de la theorie des options a la finance d'entreprise a connu un essor considerable. Cependant, en depit de contributions a la comprehension des decisions d'investissement et de financement, les modeles developpes jusqu'a present ne peuvent pas expliquer de nombreuses donnees observees dans la pratique. Cette these montre que le prise en compte de certains elements caracterisant l'environnement economique ou legislatif des entreprises permet de reproduire (plus) fidelement ces donnees. Il est montre que: - la possibilite pour une entreprise en detresse financiere d'etre reorganisee permet d'expliquer les faibles niveaux d'endettement et le defaut precoce des entreprises; - le degre de liquidite des actifs d'une firme peut expliquer l'effet taille observe dans les structures du capital ainsi que les fortes primes de risque payees par les entreprises pour leur risque de defaut; - le degre d'enracinement des dirigeants et leur tendance a sur-investir ont un impact sur la politique financiere retenue; - les delais de mise en place affectent la politique optimale d'investissement et l'evaluation des projetsSince the pathbreaking papers by black and scoles (1973) and merton (1974), contingent claims analysis has been widely applied to corporate finance. However, although this literature has made a great step toward a better understanding of investment and financing decisions, it has been unable so far to capture many stylized facts of corporate finance. This thesis shows that incorporating some features of the legal and economic environment of firms allows one to explain (at least partly) the data observed in practice. It is shown that - the possibility for a firm in financial distress to engage a reorganization procedure can account for early default and the low debt levels in capital structures; - asset liquidity can explain the size effect observed in capital structures and the high credit spreads; - managerial entrenchment and empire-building have an impact on the financing policy selected by the firm; - implementation delays affect both optimal investment policies and the valuation of projects
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Huhta, T. (Tommi). "Performance of the Black-Scholes option pricing model:empirical evidence on S&P 500 call options in 2014". Master's thesis, University of Oulu, 2017. http://urn.fi/URN:NBN:fi:oulu-201711083066.
Testo completoAbstract (sommario):
This paper evaluates performance of the Black-Scholes option pricing model on European call options that are written on U.S. S&P 500 equity index in year 2014. Main purpose is to show empirical evidence about false assumptions contained in the model and complete it by relaxing unconditional restrictions. Analysis consists of investigating biasedness and heteroscedasticity properties by complementing the Black-Scholes model with GARCH(1,1) method based on maximum likelihood estimations. Varying volatility is studied also through implicit volatility surface.
Depending on their characteristics, call options are categorized into specific groups according to their moneyness and maturity for further analysis. Using common econometrics and statistical methods, the paper shows that assumption about constant volatility is false, that the Black-Scholes model exhibits a bias which leads to mispricing of certain type of options and that assumption about normally distributed error term is false. Volatility is estimated through historical and implicit methods, of which the latter one uses GARCH(1,1) method to capture especially time-series characteristics of varying volatility.
Findings regarding performance of the Black-Scholes option pricing model were expected and are in line with prior literature.
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Bouvard, Matthieu. "3 essais en finance d'entreprise". Toulouse 1, 2009. http://www.theses.fr/2009TOU10032.
Testo completoAbstract (sommario):
Cette thèse est composée de trois essais. Un premier essai s intéresse au lien entre frictions sur les marchés de capitaux et acquisition d information par des entrepreneurs. Je montre qu un problème d anti-sélection entre entrepreneurs et investisseurs peut modifier les incitations des premiers à investir dans l acquisition de compétences ou d expérience. Il existe deux régimes inefficients. Lorsque les investisseurs sont a priori pessimistes, l accès au financement est restreint aux entrepreneurs expérimentés, il y a peu de projets financés et ils sont en moyenne très profitables. Lorsque les investisseurs sont a priori optimistes, tous les entrepreneurs ont accès à un financement, le nombre de projets financés est élevé, et leur profitabilité moyenne est faible. Ces effets suggèrent un mécanisme d amplification des cycles économiques. Un deuxième essai modélise le financement de projets innovants comme un problème d investissement séquentiel. Un premier investissement génère un flux d information sur la profitabilité d un deuxième investissement. L entrepreneur a ex ante une information privée sur la profitabilité du projet, ce qui crée un problème d anti-sélection pour les investisseurs. Les contrats optimaux peuvent être implémentés en utilisant des stocks-options bloquées et un "golden parachute". Ils incluent également le timing du deuxième investissement qui est utilisé comme un instrument pour signaler la qualité du projet. Ce mécanisme crée une distorsion dans le processus d apprentissage : le deuxième investissement a lieu trop tôt ou trop tard par rapport à l optimum de premier ordre. Le financement interne affecte le timing du deuxième investissement. Le modèle génère des prédictions empiriques sur le relation entre la sensibilité à la performance du contrat de rémunération de l entrepreneur et la politique d investissement de la firme. Un troisième essai s intéresse aux agences de certification ou de notation dont la rémunération dépend des intérêts potentiellement conflictuels des acheteurs (investisseurs) et des vendeurs (émetteurs de titres). En délivrant une information plus précise, les agences augmentent la participation des acheteurs mais peuvent également dissuader les vendeurs de participer. En effet, ces derniers prennent également en compte la probabilité d obtenir une note positive. Dans un jeu dynamique, nous examinons comment la tentative d établir une réputation vis-a-vis des deux côtés du marché affecte la production d information. Nous montrons que le souci de réputation peut avoir un effet ambigu. Lorsque la fiabilité perçue des notations est faible, la réputation a un effet de discipline et la précision des notations s améliore. Lorsque la fiabilité perçue est élevée, les agences deviennent laxistes pour augmenter leurs revenus futurs. Cet effet ne nécessite pas que la rémunération de l agence soit contingente à la notationThe first essay shows that adverse selection on the capital market affects incentives of entrepreneurs to engage in information acquisition through education or experience. The second essay models innovation financing as a sequential investment problem. Adverse selection on the capital market distorts investment timing and creates inertia. Optimal contracts can be implemented through stock options with a vesting period and severance payments. The third essay studies ratings or certification agencies and shows that reputational concerns have an ambiguous effect. When the perceived reliability of ratings is deficient, reputation has a disciplining effect and the precision of reports improves. However, agencies with a good reputation are too lenient
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Chirayukool, Pokpong. "The valuation of exotic barrier options and American options using Monte Carlo simulation". Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/45027/.
Testo completoAbstract (sommario):
Monte Carlo simulation is a widely used numerical method for valuing financial derivatives. It can be used to value high-dimensional options or complex path-dependent options. Part one of the thesis is concerned with the valuation of barrier options with complex time-varying barriers. In Part one, a novel simulation method, the contour bridge method, is proposed to value exotic time-varying barrier options. The new method is applied to value several exotic barrier options, including those with quadratic and trigonometric barriers. Part two of this thesis is concerned with the valuation of American options using the Monte Carlo simulation method. Since the Monte Carlo simulation can be computationally expensive, variance reduction methods must be used in order to implement Monte Carlo simulation efficiently. Chapter 5 proposes a new control variate method, based on the use of Bermudan put options, to value standard American options. It is shown that this new control variate method achieves significant gains over previous methods. Chapter 6 focuses on the extension and the generalisation of the standard regression method for valuing American options. The proposed method, the sequential contour Monte Carlo (SCMC) method, is based on hitting time simulation to a fixed set of contours. The SCMC method values American put options without bias and achieves marginal gains over the standard method. Lastly, in Part three, the SCMC method is combined with the contour bridge method to value American knock-in options with a linear barrier. The method can value American barrier options very well and efficiency gains are observed.
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Friedl, Gunther. "Real options and investment incentives". Berlin ; New York : Springer, 2007. http://site.ebrary.com/id/10161175.
Testo completo
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Wu, Jian. "Les options exotiques et leurs applications en finance d'entreprise". Paris 9, 1997. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=1997PA090050.
Testo completoAbstract (sommario):
L'application des produits dérivés à la finance d'entreprise constitue un champ de recherche important et vaste. Ce travail a pour objet d'étudier les options exotiques, instruments dérivés caractérisés par une plus grande souplesse et une plus grande précision par rapport à leurs homologues traditionnels. Les options exotiques dites fondamentales sont examinées en premier lieu. Pour chacune de ces classes, nous présentons les produits les plus connus, tels que les options à barrière, les options composées et les options sur moyenne, ceci en analysant successivement leur mécanisme, leur évaluation, leur couverture ainsi que leurs applications a la gestion financière des entreprises. Sur la base des options exotiques fondamentales, la conception de nouveaux types d'options exotiques plus complexes est possible. Nous proposons dans ce cadre les options extensibles avec changement d'actif sous-jacent, qui ont la particularité de combiner simultanément deux caractéristiques exotiques, celle des options extensibles et celle des options a plusieurs sous-jacents. Parmi les nombreuses utilisations possibles, ce type d'options pourrait intéresser plus particulièrement les entreprises dans leur émission de bons de souscription d'actions afin de réduire le risque de non-exercice des titres et de fidéliser ainsi les investisseurs au sein du même groupe. A travers une étude concrète sur les programmes de rémunération incitative des cadres dirigeants, nous montrons dans la dernière partie de cette thèse qu'en suivant une démarche méthodique, les entreprises sont en mesure de constituer de manière appropriée leurs outils exotiques en fonction de la spécificité du problème rencontré et des objectifs recherchésThe application of derivative instruments to corporate finance is a vast and important field of research. The aim of this work is to study exotic options, i. E. Derivatives characterized by greater flexibility and greater precision than their traditional counterparts. First, we examine so-called fundamental exotic options. We present the most well-known products for each fundamental exotic option class, such as barrier options, compound options, options on average, pay-back options, extendible options and options on the minimum or the maximum of two risky assets, by successively analyzing their mechanisms, their valuation, their hedging, and their applications to companies' financial management. New, more complex types of exotic options are possible based on fundamental exotic options. In this perspective we propose extendible options with underlying asset changes, which have the particularity of simultaneously combining two exotic characteristics, that of extendible options and that of multi-asset options. Valuation and hedging of these options arc studied here in detail. Among numerous possible uses, this type of exotic options could interest firms in terms of their warrant issues so as to reduce the non-exercise risk of these securities and keep existing investors in the same group. Through a concret study of executive remuneration incitative schemes, we show in the final part of this thesis that by following a methodical procedure, firms can shape their exotic tools to best fit specific problems and specific goals
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Tang, Yin Chiu. "Optimal entry and exit strategies of an investment project : compound American options /". View Abstract or Full-Text, 2002. http://library.ust.hk/cgi/db/thesis.pl?MATH%202002%20TANG.
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Lee, Mou Chin. "An empirical test of variance gamma options pricing model on Hang Seng index options". HKBU Institutional Repository, 2000. http://repository.hkbu.edu.hk/etd_ra/263.
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MENDES, RAFAEL MACHADO. "REAL OPTIONS IN PROJECT FINANCE: AN OIL INDUSTRY APPLICATION". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19926@1.
Testo completoAbstract (sommario):
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
As estruturas do tipo Project Finance, cada vez mais, vêm sendo utilizadas para o financiamento de projetos de investimento, principalmente, quando se trata de obras infraestruturais. Para tanto, uma grande estruturação jurídica é utilizada de forma a garantir uma adequada alocação de riscos às partes interessadas do projeto. Esta gestão riscos do projeto é de fundamental importância para garantir a viabilidade financeira e sucesso de um financiamento estruturado, como o Project Finance. Agora, analisando o projeto, sob o ponto de vista econômico, uma nova abordagem de avaliação de projetos de investimentos vem ganhando força nas empresas e na academia. Trata-se da teoria de Opções Reais que busca valorar e mensurar flexibilidades gerenciais que venham a acontecer durante o ciclo de vida de um projeto de investimento. Essa ótica pode tornar viáveis, economicamente, projetos antes inviáveis, sob a perspectiva tradicionalmente estática da teoria clássica de análise de investimentos. No contexto de Project Finance, podem ser consideradas como opções reais, cláusulas contratuais (por determinadas garantias de serviço), o abandono de um projeto durante sua execução, dentre outras. Nesse sentido, este trabalho apresenta a modelagem de um caso fictício de construção de um gasoduto, analisando o projeto, sob a perspectiva com e sem opções. Para tanto, foram utilizados os métodos analítico e de Simulação de Monte Carlo.
The Project Finance structures are increasingly being used to finance investment projects, especially for infrastructural projects. Therefore, a complex legal structure is used to ensure an appropriate allocation of risks to the project stakeholders. This project risk management is very important to ensure the financial viability and success of a structured finance, such as Project Finance. Now, analyzing the project from the economic point of view, a new approach for evaluating investment projects has been gaining strength in business companies and academy. That’s the Real Options theory which seeks to measure and value managerial flexibility which may arise during an investment project life cycle. Projects before unviable under the static view of investment analysis classical theory can become economically viable using this perspective. In Project Finance’s context can be regarded as real options contract terms (for certain guarantees of service), the project abandonment during its implementation, among others. In this sense, the dissertation presents a fictitious case modeling of a gas pipeline, analyzing the project s perspective with and without options. Thus, both methods were used: the analytical and Monte Carlo simulation.
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Lipp, Tobias. "Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging". Paris 6, 2012. http://www.theses.fr/2012PA066104.
Testo completoAbstract (sommario):
Cette thèse porte sur l'optimisation en finance par des méthodes numériques. La thèse se présente en deux parties. Dans la première partie, nous proposons une méthode numérique pour calculer une stratégie de trading pour la couverture d'un produit financier dérivé avec plusieurs instruments de couverture. Le cadre mathématique sous-jacent est la minimisation du risque local en temps discret. La méthode combine la simulation de Monte-Carlo et la régression des moindres carrés - analogue à la méthode de Longstaff et Schwartz. Nous l'appliquons à deux exemples particuliers. Les instruments de couverture sont l'actif sous-jacent, des options vanilles et des swaps de variance. Dans la seconde partie, nous proposons une approche par contrôle optimal pour l'optimisation des options paniers à barrière double de type européen. Le panier est constitué de deux actifs. L'objectif est de contrôler le versement à la barrière supérieure et le versement à la date d'échéance de sorte que le delta de l'option soit aussi proche que possible d'une constante prédéfinie. Cela donne lieu à un problème de contrôle optimal de type contrôle restreint pour l'équation aux dérivées partielles de Black-Scholes avec des conditions de Dirichlet au bord contrôlées et de condition terminale contrôlée. En utilisant la formulation variationnelle du problème dans un cadre d'espace de Sobolev à poids, on prouve l'existence et l'unicité de la solution. Les discrétisations par la méthode des éléments finis et par le schéma d'Euler implicite conduisent à un problème de contrôle optimal entièrement discret. Des résultats numériques sont donnésThis dissertation contributes to optimization in finance through numerical methods. The input consists of two parts: In part 1, we propose a numerical method to compute a trading strategy for the hedging of a financial derivative with N hedging instruments. The underlying mathematical framework is local risk minimization in discrete time. The method combines Monte Carlo simulation with least squares regression in analogy to the method of Longstaff and Schwartz. We study the proposed method on two example problems. For both problems the number of hedging instruments is two. One of the hedging instruments is always the underlying asset of the hedging objective. The other hedging instrument is a vanilla put option in the first example and a variance swap in the second example. In part 2, we propose an optimal control approach for the optimization of European double barrier basket options. The basket consists of two assets. The objective is to control the payoff and the rebate at the upper barrier such that the delta of the option is as close as possible to a predefined constant. This gives rise to a control constrained optimal control problem for the (two-dimensional) Black-Scholes equation with Dirichlet boundary control and finite time control. Based on the variational formulation of the problem in an appropriate Sobolev space setting, we prove the existence of a unique solution and state the first order necessary optimality conditions. Discretization in space by P1 finite elements and discretization in time by the backward Euler scheme results in a fully discrete optimal control problem. Numerical results illustrate the benefits optimized double barrier options
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Sahut, Jean-Michel. "L'évaluation des options sur actions : l'alternative approche fonctionnelle, approche organisationnelle". Aix-Marseille 3, 1998. http://www.theses.fr/1998AIX32055.
Testo completoAbstract (sommario):
Dans cette these nous avons cherche a etudier le probleme de l'evaluation des options sur actions, et plus generalement celui de la formation de la fourchette de cours acheteur-vendeur sur le monep. Pour ce faire, l'etude s'est developpee selon deux approches. Dans l'approche fonctionnelle, nous nous sommes interesses a l'impact des couts de transaction dans les modeles d'evaluation des options. Cependant, meme si les modeles avec couts de transaction donnent aux teneurs de marche une fourchette de prix acheteur-vendeur, nous avons souligne que ces derniers sont toujours confrontes au probleme de la determination de la marge a ajouter a ces prix pour afficher leur fourchette sur le marche. Dans l'approche de nature organisationnelle, nous avons essaye d'identifier directement les determinants de la fourchette des teneurs de marche, et par consequent les couts de l'activite de tenue de marche sur le monep. Elle montre que la modelisation de la fourchette d'une option est avant tout un probleme d'evaluation de cette option, et dans une moindre mesure un probleme de microstructure. De plus, nous avons montre que les caracteristiques de liquidite du marche des actions se transmettent a leur optionIn this thesis we sought to study the problem of evaluation on options taken on stocks, and more generally that of the formation of the bid-ask spread on the monep. The study developed according to two approaches. In the functional approach, we examined the impact of transaction costs when evaluating option models. However, even if the model which includes transaction costs gives the market maker a bid-ask spread, we underlined the fact that market makers always need to determine margins which include the price for display in their bid-ask spread. In the organizational approach, we attempted to directly identify the determinant of market bid-ask spread, and consequently the cost of activity of market making on the monep. Our research shows that modeling the bid-ask spread of an option is first and foremost a problem of evaluating this option, and to a lesser extent a problem of microstructure. In addition, we have demonstrated that the liquidity characteristics of the stock market are transmitted along with their option
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Lee, Dong Wook. "Two essays in corporate finance". Connect to this title online, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1060687110.
Testo completoAbstract (sommario):
Thesis (Ph. D.)--Ohio State University, 2003.Title from first page of PDF file. Document formatted into pages; contains x, 104 p.; also includes graphics (some col.). Includes bibliographical references. Available online via OhioLINK's ETD Center.
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Vasquez, Aurelio. "Asset pricing in the stock and options markets". Thesis, McGill University, 2011. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=97025.
Testo completoAbstract (sommario):
This thesis comprises three essays on asset pricing on the stock and options markets. The first essay finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay finds a negative relation between realized skewness, extracted from high-frequency data, and stock returns. The third essay finds a negative relation between price jumps of intraday data and future stock returns.Cette thèse se compose de trois essais qui analysent l'évaluation d'actifs dans le marché boursier et le marché d'options. Le premier essai trouve une relation positive entre la pente de la surface de volatilité implicite et les rendements futurs des options. Le deuxième essai trouve une relation négative entre le coefficient de dissymétrie, calculé a partir des données intra-journalières, et les rendements des actions. Le troisième essai trouve une relation negative entre les sauts des prix intra-journaliers et les rendements futurs des actions.
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Vainberg, Gregory. "The relative pricing of index and equity options". Thesis, McGill University, 2010. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=94970.
Testo completoAbstract (sommario):
This thesis is made up of three essays that explore the informational content of index and individual equity option prices. In the first essay, we investigate the pricing of systematic variance risk in the equity options market. Cross sectional tests on synthetic variance swap returns reveal no evidence of a negative market variance risk premium. Furthermore, we show that a class of linear factor models cannot simultaneously explain index and equity option prices. In particular, equity options appear to be underpriced relative to index options. To exploit the mispricing, we analyze an investment strategy known as dispersion trading. After transaction costs, the strategy generates a Sharpe ratio which is more than four times greater than that of the market. We also find that equity option prices are related to underlying firm characteristics: Options on small and value stocks are more expensive than options on large and growth stocks, respectively. In the second essay we investigate the computation of one of the most important tools in finance practice, market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all backward-looking. This essay introduces a radically different approach to estimating market betas. We use information embedded in the prices of individual equity and index options to compute an option-implied market beta at the daily frequency. This beta can be computed using option data for a single day, and is able to reflect sudden changes in the structure of the underlying company. Based on an empirical investigation of daily cross-sections of option contracts on one hundred underlying companies, we conclude that these option-implied betas contain information relevant for forecasting future betas that is not contained in historical betas. In the third essay, we propose the use of option-implied beta, aLa présente thèse se compose de trois mémoires ayant trait à l'information qu'on peut tirer des cours des options sur indice et des options sur actions individuelles. Dans le premier mémoire, nous examinons la tarification du risque lié à la variance systématique dans le marché des options sur actions. L'analyse sectiorielle des rendements des swaps sur simulation de la variance ne permet de déceler aucune prime de risque liée à la variance négative du marché. Par ailleurs, nous montrons qu'une série de modèles d'analyse factorielle linéaire ne peut pas expliquer à la fois les prix des options sur indice et les prix des options sur actions. De façon plus particulière, les options sur actions semblent être sous évaluées par rapport aux options sur indice boursier. Le mémoire analyse une stratégie de placement connue sous le nom de négociation liée à la variabilité, qui permettrait de tirer parti de cette anomalie. Après déduction des frais de négociation, la stratégie génère un ratio de Sharpe qui est plus de quatre fois supérieur à celui du marché. Nous constatons également que les cours des options sur actions sont liés aux caractéristiques de la société sous jacente : les options sur les actions de sociétés à faible capitalisation et sur les actions de type valeur coûtent plus cher que les options sur les actions de sociétés à forte capitalisation et les actions de type croissance, respectivement. Dans le deuxième mémoire, nous examinons le calcul de l'un des outils les plus importants du monde de la finance : les coefficients bêta. Les approches existantes pour effectuer ce calcul se fondent sur les données antérieures. Bien que ces approches varient sur le plan de la complexité des calculs statistiques et de la modélisation de la variation temporelle des coefficients bêta, elles sont toutes rétrogrades. Le présent compte rendu adopte une approche résolument différente pour l'estimation des coeffici
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Bhamani, Feroz. "Hedging Interest-Rate Options Using Principal Components Analysis". Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29250.
Testo completoAbstract (sommario):
It is often a goal of the risk management of a portfolio of interest rate sensitive instruments to minimize the impact of movements in market rates on the value of the portfolio. This can be done by considering the sensitivity of the portfolio to each of the market rates that are used to bootstrap a yield curve. However, this is likely to lead to an excessive amount of trading due to an investment in a large number of hedging securities. As an alternative, we consider using principal components analysis (PCA) to condense most of the variability in the market rates into a much smaller number of risk factors, called the principal components. One can then construct a hedging portfolio so as to make the portfolio immune to shocks in these principal components, and hence to the most common movements in the yield curve. We compare the effectiveness of these two hedging strategies for hedging a portfolio of interest-rate options, both in the absence and presence of transaction costs. We also consider the additional feature of being able to update each hedging methodology on a daily basis and rebalance the hedge portfolios accordingly.
21
Endekovski, Jessica. "Pricing multi-asset options in exponential levy models". Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31437.
Testo completoAbstract (sommario):
This dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal inverse Gaussian (NIG) model. Both models are calibrated to real market data and then used to price basket options, where the underlyings are the constituents of the KBW Bank Index. Two pricing methods are also compared: a closed-form (analytical) approximation of the price, derived by Linders and Stassen (2016) and the standard Monte Carlo method. The convergence of the analytical approximation to Monte Carlo prices was found to improve as the time to maturity of the option increased. In comparison to real market data, the multivariate NIG model was able to fit the data more accurately for shorter maturities and the multivariate VG model for longer maturities. However, when looking at Monte Carlo prices, the multivariate VG model was found to outperform the results of the multivariate NIG model, as it was able to converge to Monte Carlo prices to a greater degree.
22
Jankelow, Adam. "Pricing American/Bermudan-style Options under Stochastic Volatility". Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32755.
Testo completoAbstract (sommario):
A method to price American options under a stochastic volatility framework is introduced which is based on Rambharat and Brockwell (2010). We price American options under the Heston and Bates stochastic volatility models where volatility is assumed to be a latent process. The pricing algorithm is based on the least-squares Monte Carlo approach made popular by Longstaff and Schwartz (2001). Information about the volatility of the underlying asset is used to assist in solving the pricing problem. Since volatility is assumed to be a latent, a particle filter is used to estimate the filtering distribution of volatility. A summary vector is constructed which captures the essential features of the filtering distribution. At each time step before maturity, the elements of the summary vector and the current share price are used as explanatory variables in a regression function which estimates the continuation value of the option. Estimating the continuation value assists in finding the optimal time to exercise the option. This pricing approach is benchmarked against a method which assumes volatility is observable. Furthermore, our pricing approach is compared to simpler methods which do not use particle filtering. Results from our numerical experiments suggest the proposed approach produces accurate option prices.
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Zhang, Ling. "Two essays in corporate finance". online access from Digital Dissertation Consortium, 2006. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?3240978.
Testo completo
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Ekström, Erik. "Selected problems in financial mathematics /". Uppsala : Matematiska institutionen, Univ. [distributör], 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-4574.
Testo completo
25
Zhao, Aiwu. "Diversification Effects: A Real Options Approach". [Kent, Ohio] : Kent State University, 2008. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=kent1227507382.
Testo completoAbstract (sommario):
Thesis (Ph.D.)--Kent State University, 2008.Title from PDF t.p. (viewed March 3, 2010). Advisor: Mark Holder. Keywords: diversification; diversification discount; value measurement; real options. Includes bibliographical references (p. 84-89).
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Clapham, Eric. "Essays in real estate finance". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics, 2005. http://www.hhs.se/efi/summary/681.htm.
Testo completo
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Lau, Pak-man. "Option pricing : a survey /". [Hong Kong : University of Hong Kong], 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B14386057.
Testo completo
28
Penaud, Antony. "Optimal decisions in finance : passport options and the bonus problem". Thesis, University of Oxford, 2000. http://ora.ox.ac.uk/objects/uuid:292c36da-ce43-481d-ad45-e5e859ca3688.
Testo completoAbstract (sommario):
The object of this thesis is the study of some new financial models. The common feature is that they all involve optimal decisions. Some of the decisions take the form of a control and we enter the theory of stochastic optimal control and of Hamilton-Jacobi-Bellman (HJB) equations. Other decisions are "binary" and we deal with the theory of optimal stopping and free boundary problems. Throughout the thesis we will prefer a heuristic and intuitive approach to a too technical one which could hide the underlying ideas. In the first part we introduce the reader to option pricing, HJB equations and free boundary problems, and we review briefly the use of these mathematical tools in finance. The second part of the thesis deals with passport options. The pricing of these exotic options involves stochastic optimal control and free boundary problems. Finally, in the last part we study the end-of-the-year bonus for traders: how to optimally reward a trader?
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Camroodien, Ayesha. "Pricing discretely monitored barrier options under exponential-Levy processes". Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31432.
Testo completoAbstract (sommario):
One of the main factors in pricing barrier options is deciding whether to monitor the underlying asset price in continuous time or for a fixed set of time points. Most actively traded barrier options are monitored in discrete time due to reasons such as regulation and practical implementation. This dissertation presents transform methods for pricing discretely monitored barrier options under exponential-Levy ´ processes. Single-barrier knock-out options are evaluated under the Black-Scholes framework, the normal inverse Gaussian model and the Variance Gamma model. These models are widely implemented when dealing with pricing options sensitive to jumps. A diffusion component is included in the Variance Gamma model for comparison purposes. We focus on the COS method using Fourier-cosine series expansions and the Hilbert transform method to obtain prices fast and accurately. These option pricing approaches are suitable for Levy processes where the ´ analytical form of their characteristic function is available. Furthermore, standard Monte Carlo pricing is used as a reference and an outline of the pricing algorithms is presented. Both methods are easy to implement across the different asset price dynamics. In particular, the COS method produces results faster than the Hilbert transform method, however, the truncation assumptions under the COS method derived in (Fang and Oosterlee, 2009) prove to be unreliable. We observe the truncation range requires adjustment under the different asset price dynamics, as well as the different types of knock-out barrier options.
30
Glover, Elistan Nicholas. "Analytic pricing of American put options". Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002804.
Testo completoAbstract (sommario):
American options are the most commonly traded financial derivatives in the market. Pricing these options fairly, so as to avoid arbitrage, is of paramount importance. Closed form solutions for American put options cannot be utilised in practice and so numerical techniques are employed. This thesis looks at the work done by other researchers to find an analytic solution to the American put option pricing problem and suggests a practical method, that uses Monte Carlo simulation, to approximate the American put option price. The theory behind option pricing is first discussed using a discrete model. Once the concepts of arbitrage-free pricing and hedging have been dealt with, this model is extended to a continuous-time setting. Martingale theory is introduced to put the option pricing theory in a more formal framework. The construction of a hedging portfolio is discussed in detail and it is shown how financial derivatives are priced according to a unique riskneutral probability measure. Black-Scholes model is discussed and utilised to find closed form solutions to European style options. American options are discussed in detail and it is shown that under certain conditions, American style options can be solved according to closed form solutions. Various numerical techniques are presented to approximate the true American put option price. Chief among these methods is the Richardson extrapolation on a sequence of Bermudan options method that was developed by Geske and Johnson. This model is extended to a Repeated-Richardson extrapolation technique. Finally, a Monte Carlo simulation is used to approximate Bermudan put options. These values are then extrapolated to approximate the price of an American put option. The use of extrapolation techniques was hampered by the presence of non-uniform convergence of the Bermudan put option sequence. When convergence was uniform, the approximations were accurate up to a few cents difference.
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Anderson, Craig. "Pricing path dependent options under variance gamma dynamics". Master's thesis, University of Cape Town, 2007. http://hdl.handle.net/11427/4951.
Testo completo
32
Yan, Chi-kwan, e 顔志軍. "The hedging role of options and futures with mismatched currencies". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31954728.
Testo completo
33
Yan, Chi-kwan. "The hedging role of options and futures with mismatched currencies". Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B23425076.
Testo completo
34
Ragle, William F. "Three Essays on the Effects of Equity Option Introduction". Thesis, University of North Texas, 1996. https://digital.library.unt.edu/ark:/67531/metadc277764/.
Testo completoAbstract (sommario):
This dissertation is structured as three essays on various aspects of equity option introduction. Topics addressed include the relative predictability of introduction, the relationship between predictability of introduction and the price effect associated with introduction, and a comparison of the price response of optioned versus nonoptioned stocks to changes in dividends. Essay 1 involves use of firm-specific variables in a LOGIT model to allow assignment of a probability of equity option introduction. Two samples were developed: one of firms that were optioned, the other of firms which met the objective standards but were not optioned. A LOGIT model is used to assign a probability of optioning to each firm. A holdout sample is used to test the out-of-sample predictive power of the model. Firms were correctly classified as optioned or nonoptioned in about 85 percent of cases. Various researchers have detected abnormal positive returns associated with stock option introduction. In an efficient market context, this would indicate that option introduction is "good" news to financial markets. If optioning is predictable, stocks with a higher probability of optioning would be expected to show less price response when options are introduced. In Essay 2, the relationship between the probability of optioning and abnormal returns is tested using a standard event methodology. Utilizing nonparametric statistics, no significant differences were detected among abnormal returns of portfolios formed on the basis of probability of option introduction. Essay 3 compares abnormal returns of optioned and nonoptioned stocks around announced dividend changes. Two samples were obtained. Firms in the first (second) sample had significant dividend changes while options were (were not) available on their stocks. Standard event methodology is used to compare price responses of the two samples. If the price response of optioned stocks is less pronounced than the price response of nonoptioned stocks, this may indicate that optioned stocks are more efficiently priced. Reasons for this increased efficiency are examined in the study. Abnormal returns for the optioned sample were not significantly different from zero. Those for the nonoptioned sample were significantly different from zero for all event windows tested.
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LeRay, David. "Efficient pricing of an Asian put option using stiff ODE methods". Link to electronic thesis, 2007. http://www.wpi.edu/Pubs/ETD/Available/etd-050907-133817/.
Testo completo
36
Li, Gang. "Two essays on empirical options studies /". View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?FINA%202007%20LI.
Testo completo
37
Firth, Neil Powell. "High dimensional American options". Thesis, University of Oxford, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.427867.
Testo completoAbstract (sommario):
Pricing single asset American options is a hard problem in mathematical finance. There are no closed form solutions available (apart from in the case of the perpetual option), so many approximations and numerical techniques have been developed. Pricing multi–asset (high dimensional) American options is still more difficult. We extend the method proposed theoretically by Glasserman and Yu (2004) by employing regression basis functions that are martingales under geometric Brownian motion. This results in more accurate Monte Carlo simulations, and computationally cheap lower and upper bounds to the American option price. We have implemented these models in QuantLib, the open–source derivatives pricing library. The code for many of the models discussed in this thesis can be downloaded from quantlib.org as part of a practical pricing and risk management library. We propose a new type of multi–asset option, the “Radial Barrier Option” for which we find analytic solutions. This is a barrier style option that pays out when a barrier, which is a function of the assets and their correlations, is hit. This is a useful benchmark test case for Monte Carlo simulations and may be of use in approximating multi–asset American options. We use Laplace transforms in this analysis which can be applied to give analytic results for the hitting times of Bessel processes. We investigate the asymptotic solution of the single asset Black–Scholes–Merton equation in the case of low volatility. This analysis explains the success of some American option approximations, and has the potential to be extended to basket options.
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Yao, Huimin. "Empirical testing of real options in the Hong Kong residential real estate market". Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B36173344.
Testo completo
39
Mwangi, George. "Relationship between Firm Performance and CEO's Stock Options in U.S. Pharmaceutical Companies". Thesis, Walden University, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10245104.
Testo completoAbstract (sommario):
The CEO’s compensation policy is one of the most important factors in an organization’s success. CEO’s stock options are awarded to align the interests of the CEO with the interests of the firms’ stakeholders. However, lack of understanding of the relationship between firm performance and a CEO’s stock options could threaten the alignment of a CEO’s interests with those of the stakeholders. Grounded in agency theory, the purpose of this correlation study was to examine the relationship between return on equity, return on investment, total annual revenues, and CEOs’ stock options awards, while controlling for firm size, age of CEO, and CEO tenure. Archival data from 99 U.S. pharmaceutical companies were analyzed using hierarchical linear regression. The results of the hierarchical regression analysis indicated a significant predictive model F(6, 262) = 42.065, p < 0.05, R2 = .343. However, in the final model, only firm size and CEO tenure were significant. In addition, there was no significant relationship between return on equity, return on investments, and annual revenues to CEOs’ stock options. The implications for positive social change include the potential for policy makers to utilize findings in furthering dialogue related to income inequality and feeling of unfair distribution of valuable resources in the society. Pharmaceutical business leaders might affect social change by structuring CEOs’ compensation based on firm performance, encouraging innovation, and improving employment opportunities in the society.
40
Sun, Jia. "Models of executive stock options". Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/49189/.
Testo completoAbstract (sommario):
This thesis presents novel utility indifference models to solve versions of problems faced by the executives compensated with periodical option grants in practice. Chapter 2 provides a comprehensive analysis of a single executive stock option (ESO). A closed-form solution to the exercise threshold instantaneously before maturity is obtained, and the leading driver of the slope of the exercise thresholds close to and far from maturity is identified. This Chapter forms the foundation for further investigation of more complex problems in later Chapters. Chapter 3 investigates the optimal exercise of a portfolio of ESOs with different strikes and maturities. This problem is particularly faced by the executives who receive option grants annually and over time cumulate a portfolio of options with different characteristics. We show that the optimal exercise order can switch endogenously, and the timing of this switch can change the exercise thresholds for a particular option and/or all options relative to a stand-alone basis, depending on their strikes and maturities. This makes the value and cost of the option portfolio lower than the sum of the values and costs for each individual option on a standalone basis. Therefore, one of the implications from Chapter 3 is that it can produce a more accurate method for valuing and accounting for a portfolio of ESOs. Furthermore, the empirical literature suggests that the Executive Stock Option Plans (ESOPs) are often into multi-year plans, and thus Chapter 4 considers the problem for an executive who anticipates receiving a new option grant in the future and has taken it into account as part of his portfolio. Since the future options are granted at-the-money, the strike price is stochastic ex ante. We show that the future option with a stochastic strike price can significantly affect the exercise strategy of the executive’s existing options, and thus change the cost of the existing options and the overall portfolio. Therefore, Chapter 4 can provide a method to recognise the cost of multi-year ESOPs. Lastly, another problem arising from granting ESOs periodically is that the executive can purposely time his new option grant in order to maximise the value of his option compensation. Since this issue has been well suggested by the empirical literature, Chapter 5 investigates this problem theoretically in the utility framework. Our model can identify the maximum benefit for the executive of timing his option awards and the cost of this to the firm. Our results are quite consistent with the empirical findings.
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Dharmawan, Komang School of Mathematics UNSW. "Superreplication method for multi-asset barrier options". Awarded by:University of New South Wales. School of Mathematics, 2005. http://handle.unsw.edu.au/1959.4/30169.
Testo completoAbstract (sommario):
The aim of this thesis is to study multi-asset barrier options, where the volatilities of the stocks are assumed to define a matrix-valued bounded stochastic process. The bounds on volatilities may represent, for instance, the extreme values of the volatilities of traded options. As the volatilities are not known exactly, the value of the option can not be determined. Nevertheless, it is possible to calculate extreme values. We show that these values correspond to the best and the worst case scenarios of the future volatilities for short positions and long positions in the portfolio of the options. Our main tool is the equivalence of the option pricing and a certain stochastic control problem and the resulting concept of superhedging. This concept has been well known for some time but never applied to barrier options. First, we prove the dynamic programming principle (DPP) for the control problem. Next, using rather standard arguments we derive the Hamilton-Jacobi-Bellman equation for the value function. We show that the value function is a unique viscosity solution of the Hamilton-Jacobi-Bellman equation. Then we define the super price and superhedging strategy for the barrier options and show equivalence with the control problem studied above. The superprice price can be found by solving the nonlinear Hamilton-Jacobi-Equation studied above. It is called sometimes the Black-Scholes-Barenblatt (BSB) equation. This is the Hamilton-Jacobi-Bellman equation of the exit control problem. The sup term in the BSB equation is determined dynamically: it is either the upper bound or the lower bound of the volatility matrix, according to the convexity or concavity of the value function with respect to the stock prices. By utilizing a probabilistic approach, we show that the value function of the exit control problem is continuous. Then, we also obtain bounds for the first derivative of the value function with respect to the space variable. This derivative has an important financial interpretation. Namely, it allows us to define the superhedging strategy. We include an example: pricing and hedging of a single-asset barrier option and its numerical solution using the finite difference method.
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Ge, Li, e 葛麗. "Informational content of options trading on equity returns and corporate events". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2015. http://hdl.handle.net/10722/211131.
Testo completoAbstract (sommario):
This dissertation consists of three empirical studies about the informational content of options trading on subsequent equity returns and around major corporate events, such as mergers and acquisitions, and bankruptcies.
The first chapter examines the informational content of options trading on acquirer announcement returns. I show that implied volatility spread predicts positively on the cumulative abnormal return (CAR), and implied volatility skew predicts negatively on the CAR. The predictability is much stronger around actual merger and acquisition (M&A) announcement days, compared with pseudo-event days. The prediction is weaker if pre-M&A stock price has incorporated part of the information, but stronger if acquirer’s options trading is more liquid. Finally, I find that higher relative trading volume of options to stock predicts higher absolute CARs. The relation also exists among the target firms.
In the second chapter, I reassess the presence of pre- bankruptcy-filing informed and insider trades by examining the information content of options trading before bankruptcy announcements. I find that bankruptcy filing returns are not significantly related to pre-filing insider stock trading. However, filing returns are significantly negatively related to pre-filing insider and informed options trading. The informational content of options trading reduces with options illiquidity and the amount of information impounded into pre-filing stock prices.
In the third chapter, I use data on signed option volume to study which components of option volume predict returns and resolve the apparent inconsistency in the literature. I find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than trades related to synthetic long positions. Purchases of calls that open new positions are the strongest predictor of returns, followed by call sales that close out existing purchased call positions. The signed O/S measures also predict announcement returns for both earnings announcements and unscheduled corporate events. Overall the results indicate that the role of options in providing embedded leverage is the most important channel why options trading predict stock returns.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Zhao, Jing Ya. "Numerical methods for pricing Bermudan barrier options". Thesis, University of Macau, 2012. http://umaclib3.umac.mo/record=b2592939.
Testo completo
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Lu, Xiaolong, e 盧曉瓏. "Analysts, options trading and equity short selling". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206666.
Testo completoAbstract (sommario):
This dissertation consists of two empirical essays on the interactions among three financial markets, namely, the stock market, the options market, and the equity lending market.
In the first essay, we study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about upcoming analyst-related news. We examine three explanations for this finding: tipping, reverse tipping and common information. We find that analyst tipping to options traders is the most consistent explanation of these predictive patterns.
In the second essay, we examine the relationship between put options and short sales. We are able to separate the speculative demand of informed traders from the hedging demand of options market makers in the lending market. We find that the put option bid-ask spread and put option trading volume both increase with the equity lending fee. However, we also find that put option trading volume decreases with the lending fee for banned stocks during the 2008 Short-Sale Ban period, i.e., when only options market makers can short. These findings suggest that when informed traders are allowed to short, their speculative demand dominates and drives the substitution that is observed between the two financial instruments. Nevertheless, the “complementarity” of these financial instruments might prevail when options market makers significantly reduce the supply of put options because of high hedging costs.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Dube, Tinashe Alison. "Ex-ante evaluation of investment performance fees using spread options". Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/27070.
Testo completoAbstract (sommario):
This dissertation analyses ex-ante asymmetric performance fee structures used by South African Mutual Funds and estimates performance fees some time before the fees are paid. Certain parties might benefit from having a reasonable estimate of its value. We use spread option theory to value ex-ante performance fees. The data consist of monthly benchmark and fund gross returns from December 1999 to October 2014. The theoretical value of ex-ante performance fees is a function of spread volatility, therefore high spread volatilities give rise to high ex-ante performance fees. Ex-ante performance fee estimates are highly sensitive to the correlation between the fund and benchmark and a low positive correlation gives rise to a high ex-ante performance fee. The distribution of ex-ante performance fees is positively skewed because of the maximum function in the payoff. Ex-ante performance fee estimates obtained are lower than the actual performance fees paid.
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Roberts, Jessica Ellen. "Fourier pricing of two-asset options: a comparison of methods". Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/28126.
Testo completoAbstract (sommario):
Fourier methods form an integral part in the universe of option pricing due to their speed, accuracy and diversity of use. Two types of methods that are extensively used are fast Fourier transform (FFT) methods and the Fourier-cosine series expansion (COS) method. Since its introduction the COS method has been seen to be more efficient in terms of rate of convergence than its FFT counterparts when pricing vanilla options; however limited comparison has been performed for more exotic options and under varying model assumptions. This paper will expand on this research by considering the efficiency of the two methods when applied to spread and worst-of rainbow options under two different models - namely the Black-Scholes model and the Variance Gamma model. In order to conduct this comparison, this paper considers each option under each model and determines the number of terms until the price estimate converges to a certain level of accuracy. Furthermore, it tests the robustness of the pricing methodologies to changes in certain discretionary parameters. It is found that although under the Black-Scholes model the COS method converges in fewer terms than the FFT method for both spread options (32 versus 128 terms) and the rainbow options (64 versus 512 terms), this is not the case under the more complex Variance Gamma model where the terms to convergence of both methods are similar. Both the methodologies are generally robust against changes in the discretionary variables; however, a notable issue appears under the implementation of the FFT methodology to worst-of rainbow options where the choice of the truncated integration region becomes highly influential on the ability of the method to price accurately. In sum, this paper finds that the improved speed of the COS method against the FFT method diminishes with a more complex model - although the extent of this can only be determined by testing for increasingly complex characteristic functions. Overall the COS method can be seen to be preferable from a practical point of view due to its higher level of robustness.
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Tsang, Chor Yiu. "On option pricing between Hang Seng Index and its constituents /". View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20TSANG.
Testo completo
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Che, Yuen Shan. "A study on the risk and return of option writing strategies". HKBU Institutional Repository, 2015. https://repository.hkbu.edu.hk/etd_oa/187.
Testo completoAbstract (sommario):
This thesis conducts an extensive study on the risk and return of option writing strategies. Chapter 2 compares covered option writing strategies with pure directional futures positions. Specifically, the chapter compares the performance of a covered call writing strategy with a long futures position and that of a covered put writing strategy with a short futures position. The empirical results show that the covered option writing strategies outperform the corresponding pure directional futures positions on a risk-adjusted basis. Chapter 3 of the thesis focuses on studying returns from writing uncovered or “naked at-the-money (ATM) and out-of-the-money (OTM) put and call options. The mean returns from writing call options and writing put options are both positive. The returns from writing put options are higher than those from writing call options. The study finds that the market return and the realized volatility are negatively related, consistent with the general findings. The negative correlation between futures returns and the volatility forces the returns from writing put options to be more negatively skewed than the returns from writing call options. These findings help explaining the high volatility spread (or negative volatility risk premium) investors are willing to pay for put options. Even astute traders may find the prices of put options are justified since put options are powerful instruments to bet simultaneously on both the market direction and the volatility. The results of the chapter also provide an alternative explanation on the implied volatility structure of put and call options. Chapter 4 extensively tests the economic value of forecasting volatility by comparing the performance between trades that incorporate a volatility forecast and those that do not. The chapter is motivated by the fact that the performance of an option writing strategy is significantly affected by the “ex-post volatility spread i.e., the difference between the implied volatility of an option and the realized volatility of the underlying over the life of the option. The chapter finds that option implied volatility dominates other time-series models in forecasting volatility, a result consistent with the literature. Despite this fact, the study shows that there are significant incremental economic benefits for forecasting volatility.
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Xiang, Yi. "Implied volatility smirk and non-parametric calibration /". View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20XIANG.
Testo completoAbstract (sommario):
Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2004.Includes bibliographical references (leaves 107-114). Also available in electronic version. Access restricted to campus users.
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Zhang, Lingyan 1970. "Automated data acquisition and analysis of stock options". Thesis, McGill University, 2001. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=33048.
Testo completoAbstract (sommario):
This thesis describes a system that retrieves exchange-traded option quotes on stocks, which are specified by the user, from the website www.moneynet.com. The data obtained from the Web is analyzed to determine the "breakeven" stock prices. A breakeven stock price is the expiration-date stock price for call or put options, in order for the call or put holders as a group to break even. This information is very useful as it helps us to understand the stock markets and the opinions of stock traders. It is useful for expectation analysis as well. The system is written in Excel 2000 and the data obtained from the Web is displayed on Excel spreadsheets and is transformed into a format that can be analyzed by the program. The program consists of approximately 900 lines of VBA code and uses many advanced Excel built-in functions.