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Artykuły w czasopismach na temat "STOCK CALL OPTIONS"
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Antwi Baafi, Joseph. "The Nexus Between Black-Scholes-Merton Option Pricing and Risk: A Case of Ghana Stock Exchange". Archives of Business Research 10, nr 5 (24.05.2022): 140–52. http://dx.doi.org/10.14738/abr.105.12350.
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Even though option pricing and its market activities are not new, in Ghana the idea of trading options is yet to be realized. One popular method in pricing options is known as Black-Scholes-Merton option pricing model. Even though option pricing activities are not currently happening on the Ghana Stock Exchange, authors looked at the possibilities and preparedness of the GES to start trading such financial instrument. The main objective of this study therefore was to know how Black-Scholes-Merton model could be used to help in appropriate option value and undertake a risk assessment of stocks on the exchange. This study basically used the black-Scholes formula in calculating the call and put option prices for 28 companies listed GES. The results showed that the price of call option for 18 out of 28 listed stocks showed a value of zero. Again, only seven (7) companies had a value for both call and put options. This means stocks of 21 companies cannot be an underlying asset for trading financial derivatives. Reason for this performance of stock is due to low volatility. The study recommends that policies to increase volatility on the stock market should be put in place in other to make option pricing possible.
2
Blau, Benjamin M., T. Boone Bowles i Ryan J. Whitby. "Gambling Preferences, Options Markets, and Volatility". Journal of Financial and Quantitative Analysis 51, nr 2 (kwiecień 2016): 515–40. http://dx.doi.org/10.1017/s002210901600020x.
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AbstractThis study examines whether the gambling behavior of investors affects volume and volatility in financial markets. Focusing on the options market, we find that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble lotteries. Consistent with the theoretical predictions of Stein (1987), we demonstrate that gambling-motivated trading in the options market influences future spot price volatility. These results not only identify a link between lottery preferences in the stock market and the options market, but they also suggest that lottery preferences can lead to destabilized stock prices.
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Cremers, Martijn, i David Weinbaum. "Deviations from Put-Call Parity and Stock Return Predictability". Journal of Financial and Quantitative Analysis 45, nr 2 (19.02.2010): 335–67. http://dx.doi.org/10.1017/s002210901000013x.
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AbstractDeviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 50 basis points per week. We find both positive abnormal performance in stocks with relatively expensive calls and negative abnormal performance in stocks with relatively expensive puts, which cannot be explained by short sale constraints. Rebate rates from the stock lending market directly confirm that our findings are not driven by stocks that are hard to borrow. The degree of predictability is larger when option liquidity is high and stock liquidity low, while there is little predictability when the opposite is true. Controlling for size, option prices are more likely to deviate from strict put-call parity when underlying stocks face more information risk. The degree of predictability decreases over the sample period. Our results are consistent with mispricing during the earlier years of the study, with a gradual reduction of the mispricing over time.
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Hoyyi, Abdul, Abdurakhman Abdurakhman i Dedi Rosadi. "VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION". MEDIA STATISTIKA 14, nr 2 (12.12.2021): 183–93. http://dx.doi.org/10.14710/medstat.14.2.183-193.
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The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement. The model uses geometric Brownian motion which assumes that the data is normally distributed. However, in reality, stock price movements can cause sharp spikes in data, resulting in nonnormal data distribution. So we need a stock price model that is not normally distributed. One of the fastest growing stock price models today is the process exponential model. The process has the ability to model data that has excess kurtosis and a longer tail (heavy tail) compared to the normal distribution. One of the members of the process is the Variance Gamma (VG) process. The VG process has three parameters which each of them, to control volatility, kurtosis and skewness. In this research, the secondary data samples of options and stocks of two companies were used, namely zoom video communications, Inc. (ZM) and Nokia Corporation (NOK). The price of call options is determined by using closed form equations and Monte Carlo simulation. The Simulation was carried out for various values until convergent result was obtained.
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Stolorz, Beata. "Probability of Exercise of Option". Folia Oeconomica Stetinensia 6, nr 1 (1.01.2007): 1–14. http://dx.doi.org/10.2478/v10031-007-0001-8.
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Probability of Exercise of Option To estimate the risk the investors take when investing their money in stocks or stock options one must study if the option is exercised or not. From the point of view of a call option writer, especially those uncovered, one should study the probability of the exercise of option by a holder. The method presented in the paper enables to estimate risk connected with investment in options. In the assessment of risk that is born when investing money in stocks or options it is interesting whether the option will be exercised or not. From the writers' point of view, particularly those without coverage, it could be necessary to analyse probability of the exercise of options by buyers. The described method allows to assess at any time of call option duration whether the investor can be certain of the result of their investment. It can be applied also for the option strategies. In the paper the author has attempted to estimate the risk of call option and to estimate the probability of profit achievement in the case of long strangle option application. Investors using option strategies are able to do preliminary analysis of options and to minimize risk of their investment through choosing a proper date and price of exercise.
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Bae, Kwangil. "Analytical Approximations of American Call Options with Discrete Dividends". Journal of Derivatives and Quantitative Studies 26, nr 3 (31.08.2018): 283–310. http://dx.doi.org/10.1108/jdqs-03-2018-b0001.
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In this study, we assume that stock prices follow piecewise geometric Brownian motion, a variant of geometric Brownian motion except the ex-dividend date, and find pricing formulas of American call options. While piecewise geometric Brownian motion can effectively incorporate discrete dividends into stock prices without losing consistency, the process results in the lack of closed-form solutions for option prices. We aim to resolve this by providing analytical approximation formulas for American call option prices under this process. Our work differs from other studies using the same assumption in at least three respects. First, we investigate the analytical approximations of American call options and examine European call options as a special case, while most analytical approximations in the literature cover only European options. Second, we provide both the upper and the lower bounds of option prices. Third, our solutions are equal to the exact price when the size of the dividend is proportional to the stock price, while binomial tree results never match the exact option price in any circumstance. The numerical analysis therefore demonstrates the efficiency of our method. Especially, the lower bound formula is accurate, and it can be further improved by considering second order approximations although it requires more computing time.
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Szu, Wen-Ming, Yi-Chen Wang i Wan-Ru Yang. "How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?" Review of Pacific Basin Financial Markets and Policies 18, nr 02 (czerwiec 2015): 1550010. http://dx.doi.org/10.1142/s0219091515500101.
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This paper investigates the characteristics of implied risk-neutral distributions separately derived from Taiwan stock index call and put options prices. Differences in risk-neutral skewness and kurtosis between call and put options indicate deviations from put-call parity. We find that the sentiment effect is significantly related to differences between call and put option prices. Our results suggest the differential impact of investor sentiment and consumer sentiment on call and put option traders' expectations about underlying asset prices. Moreover, rational and irrational sentiment components have different influences on call and put option traders' beliefs.
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Broughton, John B., Don M. Chance i David M. Smith. "Implied Standard Deviations And Put-Call Parity Relations Around Primary Security Offerings". Journal of Applied Business Research (JABR) 15, nr 1 (31.08.2011): 1. http://dx.doi.org/10.19030/jabr.v15i1.5683.
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<span>This study examines the response of the options market to new security registrations and issuances. Two methods are employed to gauge option market response. The first involves the calculation of implied standard deviations (ISDs) around primary security registration and issuance dates. The second employs American put-call parity to simultaneously evaluate the relationship between put, call and stock prices around these dates. We find a statistically significant mean decrease in relative ISD five trading days before announcement of new stock issuances and a statistically significant mean increase in relative ISD one day before announcement of new debt issuances. Put-call parity tests provide evidence that the options market anticipates stock price decreases prior to announcements of both stock and debt issuance.</span>
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BUCKLEY, JAMES J., i ESFANDIAR ESLAMI. "PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS". New Mathematics and Natural Computation 04, nr 02 (lipiec 2008): 165–76. http://dx.doi.org/10.1142/s1793005708001008.
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We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncertain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncertain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.
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Chauhan, Arun, i Ravi Gor. "COMPARISON OF THREE OPTION PRICING MODELS FOR INDIAN OPTIONS MARKET". International Journal of Engineering Science Technologies 5, nr 4 (20.07.2021): 54–64. http://dx.doi.org/10.29121/ijoest.v5.i4.2021.203.
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Black-Scholes option pricing model is used to decide theoretical price of different Options contracts in many stock markets in the world. In can find many generalizations of BS model by modifying some assumptions of classical BS model. In this paper we compared two such modified Black-Scholes models with classical Black-Scholes model only for Indian option contracts. We have selected stock options form 5 different sectors of Indian stock market. Then we have found call and put option prices for 22 stocks listed on National Stock Exchange by all three option pricing models. Finally, we have compared option prices for all three models and decided the best model for Indian Options.
Motivation/Background:
In 1973, two economists, Fischer Black, Myron and Robert Merton derived a closed form formula for finding value of financial options. For this discovery, they got a Nobel prize in Economic science in 1997. Afterwards, many researchers have found some limitations of Black-Scholes model. To overcome these limitations, there are many generalizations of Black-Scholes model available in literature. Also, there are very limited study available for comparison of generalized Black-Scholes models in context of Indian stock market. For these reasons we have done this study of comparison of two generalized BS models with classical BS model for Indian Stock market.
Method:
First, we have selected top 5 sectors of Indian stock market. Then from these sectors, we have picked total 22 stocks for which we want to compare three option pricing models. Then we have collected essential data like, current stock price, strike price, expiration time, rate of interest, etc. for computing the theoretical price of options by using three different option pricing formulas. After finding price of options by using all three models, finally we compared these theoretical option price with market price of respected stock options and decided that which theoretical price has less RMSE error among all three model prices.
Result:
After going through the method described above, we found that the generalized Black-Scholes model with modified distribution has minimum RMSE errors than other two models, one is classical Black-Scholes model and other is Generalized Black-Scholes model with modified interest rate.
Rozprawy doktorskie na temat "STOCK CALL OPTIONS"
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Lee, Son Matthew Robert. "Predicting returns with the Put-Call Ratio". Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/30616.
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Over 22 billion derivative contracts were traded on different stock exchanges globally during the year 2010 of which almost 50% were futures while the remaining 50% were options. An overall 25% increase in such contracts was registered as compared to those traded in the year 2009 (International Options Market Association (IOMA) Report, 2011).Investors often use a wide array of trading tools, market indicators and market trading strategies to get the best possible returns for the money that was invested. The main objective of this paper is to focus on the use of market sentiment indicators, specifically the Put-Call Ratio (PCR) as a predictor of returns for an investor.The Put-Call Ratio is defined as a ratio of the trading volume of put options to call options. It is called a sentiment indicator because it measures the “feelings” of option traders. Additionally, it has longed been viewed as an indicator of investors’ sentiment in the market (Put-Call Ratio, 2012) and is possibly the most favoured description of market psychology (James, 2011).Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Kuys, Wilhelm Cornelis. "Black economic empowerment transactions and employee share options : features of non-traded call options in the South African market". Diss., University of Pretoria, 2011. http://hdl.handle.net/2263/27305.
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Employee share options and Black Economic Empowerment deals are financial instruments found in the South African market. Employee share options (ESOs) are issued as a form of non-cash compensation to the employees of the company in addition to their salaries or bonuses. Its value is linked to the share price and since there is no downside risk for the employee his share option is similar to owning a call option on the stock of his employer. Black economic empowerment (BEE) deals in this report refer to those types of transactions structured by listed South African companies to facilitate the transfer of a portion of their ordinary issued share capital to South African individuals or groups who qualify under the Broad-Based Black Economic Empowerment Act of 2003 (“the Act”). This Act requires a minimum percentage of the company to be black-owned in order to address the disproportionate distribution of wealth amongst racial groups in South Africa due to the legacy of Apartheid. These transactions are usually structured in such a way to allow the BEE partner to participate in the upside of the share price beyond a certain level but not in the downside which replicates a call option on the share price of the issuing company. The cost of both ESOs and BEE deals has to be accounted for on the balance sheet of the issuing company at its fair-value. Neither of these instruments can be traded and their extended option lifetimes are features that distinguish these deals significantly from regular traded options for which liquid markets exist. This makes pricing them a non-trivial exercise. A number of types of mathematical models have been developed to take the unique structure features into account to price them as accurately as possible. Research by Huddart&Lang (1995&1996) has shown that option holders often exercise their vested options long before the maturity of the transactions but are unable to quantify a measure that can be used. The wide variety of factors influencing option holders (recent stock price movements, market-to-strike ratio, proximity of vesting dates, time to maturity, share price volatility and wealth of option holder) as well as little exercise data publicly available prevents the options from being priced in a consistent manner. Various assumptions regarding the exercise behaviour of option holders are used that are not based on empirical observations even though the option prices are sensitive to this input. This dissertation provides an overview of the models, inputs and exercise behaviour assumptions that are recognized in pricing both ESOs and BEE deals under IFRS 2 in South Africa. This puts the reader in a position to evaluate all pricing aspects of these deals. Furthermore, their structuring are also analysed in order to identify the general issues related to them. A number of methods to manage the pricing issue surrounding exercise behaviour on ESOs have been considered for the South African market. The ESO Upper Bound-methodology showed that for each strike there is a threshold at which exercise will occur and the employee can invest the after-tax proceeds in a diversified portfolio with a higher expected return than that of the single equity option. This approach reduces the standard Black-Scholes option value without relying on assumptions about the employee’s exercise behaviour and is a viable alternative for the South African market. The derived option value represents the cost of the option. Seven large listed companies’ BEE transactions are dissected and compared against one another using the fair-value of the transaction as a percentage of the market capitalization of the company. The author shows how this measure is a more equitable way of assigning BEE credits to companies than the current practice which is shareholding-based. The current approach does not reward the effort (read cost) that a company has undertaken to transfer shares to black South Africans but only focuses on the amount that is finally owned by the BEE participants. This leaves the transaction vulnerable to a volatile share price and leads to transactions with extended lock-in periods that do not provide much economic benefit to the BEE participants for many years. Other inefficiencies in the type of BEE transactions that have emerged in reaction to the BEE codes that have been published by the South African government are also considered. Finally the funding model that is often used to facilitate these deals is assessed and the risks involved for the funder (bank) is reflected on.Dissertation (MSc)--University of Pretoria, 2011.
Mathematics and Applied Mathematics
unrestricted
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BAUER, HENRIQUE. "SKEWNESS AND KURTOSIS CONES ON BRAZILIAN STOCK CALL OPTIONS MARKET: AN ANALYSIS OF VOLATILITY CONES BEYOND IMPLIED VOLATILITY CALCULATED BY CORRADO-SU AND BLACK-SCHOLES MODELS". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19876@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO
O presente estudo tem como objetivo mostrar a existência de cones de assimetria e curtose no mercado brasileiro de opções. Além disso, os coeficientes de assimetria e curtose são de suma importância para a aplicação do modelo de Corrado e Su (1996). As volatilidades implícitas calculadas pelo método inverso deste modelo serão sobrepostas aos cones de volatilidade, buscando oportunidades de compra ou de venda de volatilidade. Para efeito de comparação, o modelo de Black e Scholes também será utilizado para a extração de tais medidas de volatilidade implícita. Outra contribuição deste trabalho é mostrar se os efeitos do sorriso de volatilidade e da estrutura a termo da volatilidade são amenizados diante de operações realizadas com os cones de volatilidade, levando-se em consideração a volatilidade implícita calculada pelos diferentes modelos. Para isto, foram realizados testes estatísticos de eficiência, além de uma análise descritiva das variáveis mais importantes para uma correta análise do mercado de opções, em momentos de estabilidade e baixa volatilidade como o verificado no ano de 2010. O estudo mostra a existência de cones de assimetria e curtose no mercado brasileiro de opções e possibilidades de ganhos com as operações feitas através dos cones de volatilidade, porém os resultados obtidos pelos dois modelos não apresentaram diferenças estatisticamente significantes.
The present study aims to show the existence of skewness and kurtosis cones in the Brazilian market. In addition, the coefficients of skewness and kurtosis are of paramount importance for the application of the model of Corrado and Su (1996). The implied volatilities calculated by the inverse of this template will be superimposed to the cones of volatility, seeking opportunities to acquire or dispose of volatility. Comparison of Black and Scholes model will also be used for the extraction of such measures of implied volatility. Another contribution of this paper is to show the effects of the volatility smile and term structure of volatility are amenable before operations performed with the cones of volatility, taking into account the implied volatility calculated by different models. For this, statistical tests were performed, efficiency and a descriptive analysis of the most important variables for a correct analysis of the options market, in times of stability and low volatility as the year of 2010. The study showed the existence of skewness and kurtosis cones in the Brazilian market and gains possibilities with volatility cones operations, but the results obtained with the two models didn´t have significative statistics differences.
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Lee, Hongbok. "Issuance and calls of preferred stock /". free to MU campus, to others for purchase, 2002. http://wwwlib.umi.com/cr/mo/fullcit?p3074420.
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Alpert, Karen. "The effects of taxation on put-call parity and option exercise behavior /". [St. Lucia, Qld.], 2004. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18166.pdf.
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Venemalm, Johan. "State Equidistant and Time Non-Equidistant Valuation of American Call Options on Stocks With Known Dividends". Thesis, Uppsala universitet, Institutionen för informationsteknologi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226518.
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In computational finance, finite differences are a widely used tool in the valuation of standard derivative contracts. In a lower-dimensional setting, high accuracy and speed often characterize such methods, which gives them a competitive advantage against Monte Carlo methods. For option contracts with discontinuous payoff functions, however, finite differences encounter problems to maintain the order of convergence of the employed finite difference scheme. Therefore the timesteps are often computed in a conservative manner, which might increase the total execution time of the solver more than necessary. It can be shown that for American call options written on dividend paying stocks, it may be optimal to exercise the option right before a dividend is paid out. The result is that yet another discontinuity is introduced in the solution and the timestep is often reduced to preserve the intrinsic convergence order. However, it is thought that at least in theory the optimal length of the timestep is an increasing function of the time elapsed since the last discontinuity occured. The objective thus becomes that of finding an explicit method for adjusting the timestep both at the dividend instants and between dividend instants. Keeping the discretization in space constant leads to a time non-equidistant finite difference problem. The aim of this thesis is to propose a time non-equidistant numerical finite difference algorithm for valuation of American call options on stocks with dividends known in advance. In particular, an explicit formula is proposed for computing timesteps at the dividend instants and between dividend payments given a user-specified error tolerance. A portion of the report is also devoted to numerical stabilization techniques that are applied to maintain the convergence order, including Rannacher time-marching and mollification.
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Iglesias, Felipe Campana Padin. "Opção de compra ou venda de ações no direito brasileiro: natureza jurídica e tutela executiva judicial". Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/2/2132/tde-21082012-112205/.
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Essa dissertação tem como escopo principal a análise da natureza jurídica e do regime aplicável às opções de compra e venda de ações. Na primeira parte, foram verificados a função econômico-social e o posicionamento doutrinário, em sede de direito nacional e comparado, quanto à classificação das opções de compra ou venda, bem como seu contraste com outros instrumentos existentes, a fim de demonstrar seu caráter contratual sui generis à luz do direito pátrio. Na segunda parte, foram estudadas as principais características das opções de compra ou venda de ações, com especial enfoque nos requisitos subjetivos, objetivos e formais, a fim de determinar seu tratamento à luz no direito brasileiro. Por fim, foram objeto de investigação os efeitos práticos no âmbito societário, bem como o regime de sua tutela jurisdicional em caso de violação das obrigações (lato sensu) assumidas pelas partes.This dissertation intends to analyze the legal nature and judicial treatment of call and put options having stocks as their underlying assets. In the first part, it was analyzed their economic and social function and doctrine, in terms of national and comparative law, regarding the classification of call and put options in general, as well as their contrast with other existing instruments, in order to demonstrate their contractual sui generis aspect under national law. In the second part, it was verified the main characteristics of call and put stock options, with particular focus on their subjective, objective and formal aspects for the purpose of determining their legal treatment under Brazilian law. Finally, their practical effects within the corporate field were object of analysis, as well as the ruling of their judicial protection upon a default of the obligations (lato sensu) assumed by the parties thereunder.
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Danho, Sargon. "Pricing Financial Derivatives with the FiniteDifference Method". Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-213551.
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In this thesis, important theories in financial mathematics will be explained and derived. These theories will later be used to value financial derivatives. An analytical formula for valuing European call and put option will be derived and European call options will be valued under the Black-Scholes partial differential equation using three different finite difference methods. The Crank-Nicholson method will then be used to value American call options and solve their corresponding free boundary value problem. The optimal exercise boundary can then be plotted from the solution of the free boundary value problem. The algorithm for valuing American call options will then be further developed to solve the stock loan problem. This will be achieved by exploiting a link that exists between American call options and stock loans. The Crank-Nicholson method will be used to value stock loans and their corresponding free boundary value problem. The optimal exit boundary can then be plotted from the solution of the free boundary value problem. The results that are obtained from the numerical calculations will finally be used to discuss how different parameters affect the valuation of American call options and the valuation of stock loans. In the end of the thesis, conclusions about the effect of the different parameters on the optimal prices will be presented.I det här kandidatexamensarbetet kommer fundamentala teorier inom finansiell matematik förklaras och härledas. Dessa teorier kommer lägga grunden för värderingen av finansiella derivat i detta arbete. En analytisk formel för att värdera europeiska köp- och säljoptioner kommer att härledas. Dessutom kommer europeiska köpoptioner att värderas numeriskt med tre olika finita differensmetoder. Den finita differensmetoden Crank-Nicholson kommer sedan användas för att värdera amerikanska köpoptioner och lösa det fria gränsvärdesproblemet (free boundary value problem). Den optimala omvandlingsgränsen (Optimal Exercise Boundary) kan därefter härledas från det fria gränsvärdesproblemet. Algoritmen för att värdera amerikanska köpoptioner utökas därefter till att värdera lån med aktier som säkerhet. Detta kan åstadkommas genom att utnyttja ett samband mellan amerikanska köpoptioner med lån där aktier används som säkerhet. Den finita differensmetoden Crank-Nicholson kommer dessutom att användas för att värdera lån med aktier som säkerhet. Den optimala avyttringsgränsen (Optimal Exit Boundary) kan därefter härledas från det fria gränsvärdesproblemet. Resultaten från de numeriska beräkningarna kommer slutligen att användas för att diskutera hur olika parametrar påverkar värderingen av amerikanska köpoptioner, samt värdering av lån med aktier som säkerhet. Avslutningsvis kommer slutsatser om effekterna av dessa parametrar att presenteras.
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Chen, Wei-Chen, i 陳韋誠. "Deviations from put-call parity of Taiwan stock options and stock return predictability". Thesis, 2011. http://ndltd.ncl.edu.tw/handle/51082646091061806178.
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碩士逢甲大學
財務金融學所
99
Research topics in options are numerous, such as market efficiency, option pricing, volatility smile, etc. However, this study focuses on the issue of put-call parity. This study follows Cremers and Weinbaum (2010) to investigate whether the deviations from the put-call parity of the Taiwan stock options contain any information for the predictability of future returns on individual stocks. This study uses the Taiwan call and put options on individual stocks with the same maturities, the same strike prices, and the same underlying stocks to calculate the implied volatility spreads, which are used as the surrogates of the deviations from put-call parities for the Taiwan stock options. Then, this study investigates whether the information contained in the implied volatility spreads is helpful to the prediction of future return on individual stocks. The sample period in this study covers November 2004 through November 2010, and is divided into two sub-periods, i.e., the ante period and the post period. The sample stocks are sorted into three portfolios based on their volatility spreads. Then this study examines the relationship between excess returns on portfolios and their market values, weights in market values, and betas, respectively. Using the same methodology, the sample stocks are sorted into three portfolios based on options trading volume, stock liquidity, stock industry, and corporation sizes, respectively. Then, this study investigates the relationship between excess returns on portfolios and their volatility spreads. The results indicate that deviations are more likely to occur in calls that are relatively more expensive than the corresponding puts, and the autocorrelation of volatility spreads has declined over time. This study finds that there are no significant abnormal returns on portfolios that are constructed based on the implied volatility spreads. However, four-week holding period returns are higher than one-week holding period returns for most of the portfolios. Moreover, returns on stocks in portfolios are positively correlated with the returns on the market portfolio. These evidences support that the Taiwan stock options market is efficient. Similar results are also found for portfolios that are based on options trading volume, stock liquidity, and corporation sizes, respectively. That is, no significant abnormal returns on these portfolios can be found. However, the evidence shows that the return predictability for the portfolio of the electronic industry is higher than that for the portfolio of non-electronic industry. In summary, the evidence shows that it is still difficult to use implied volatility spreads of options to predict future returns on individual stocks in the Taiwan options market. This is majorly due to the small number of the listing of individual stock options and the illiquidity of stock options in Taiwan. Key words: Put-Call Parity, Implied Volatility Spread, Taiwan Stock Options, Stock Return Predictability
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Wen, Chien-Sheng, i 溫建盛. "The Performance of Trading Strategies Based onDeviations from Put-Call Parity of Stock Options". Thesis, 2019. http://ndltd.ncl.edu.tw/handle/78n24p.
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碩士中原大學
財務金融研究所
107
According to Cremers and Weinbaum (2010), I compute the implied volatility spread by option put-call parity theory. Then, I build strategy based on implied volatility spread, and compares it with OS, 52-week high, and contrary investment strategies to explore whether the investment performance of the implied-volatility-spread strategy is better than other strategies. Moreover, this study combines the implied-volatility-spread strategy with other strategies to form the two-dimensional investment strategy to explore whether the performance of two-dimensional implied-volatility-spread strategy is better than one-dimensional implied-volatility-spread strategy. The empirical results show that it needs more than one year of investment to get positive abnormal return by implied-volatility-spread strategy. Otherwise, it will only receive negative abnormal return when the investment horizon is less than one year. In addition, two-dimensional strategy improves bad performance of one-dimensional strategy. After combining the contrary 52-week high and contrary investment strategy with implied-volatility-spread strategy, I find that there is the best strategic effect when the holding period is 12. Nevertheless, the abnormal returns decrease after the holding period is 24.
Książki na temat "STOCK CALL OPTIONS"
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Exit strategies for covered call writing: Making the most money when selling stock options. Tucson, Ariz: Wheatmark, 2009.
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Ellman, Alan. Exit strategies for covered call writing: Making the most money when selling stock options. Tucson, Ariz: Wheatmark, 2009.
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1937-, Schwartz Robert A., Beiner Nicole i Humbach Miriam J, red. The electronic call auction: Market mechanism and trading : building a better stock market. Boston: Kluwer Academic Publishers, 2001.
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Caes, Charles J. Selling covered calls: The safest game in the option market. Blue Ridge Summit, PA: Liberty Hall Press, 1990.
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How to make money with puts and calls: The smart way to unlimited profits with the least amount of risk. Gloucester, MA: Sigma Pub., 1993.
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Practical considerations in picking the covered call. Upper Saddle River, N.J: FTPress Delivers, 2010.
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Hoechlin, Neil. Futures, Options Trading and Investing Book for Beginners and Beyond: Covers Trading in the Zone Basics, Options-Indexes, Technical Analysis, Us Stock Futures, Call Options, Swing Trading and More. Independently Published, 2018.
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Lewis, Elisabet. Trader's Notebook: Day Trader Stock Trading Journal for Call Options, Put Options, Futures and Forex Investing. Keep Track of Your Positions in the Market. Independently Published, 2021.
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New Insights on Covered Call Writing: The Powerful Technique That Enhances Return and Lowers Risk in Stock investing. Bloomberg Press, 2003.
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McMillan, Lawrence G., i Richard Lehman. New Insights on Covered Call Writing: The Powerful Technique That Enhances Return and Lowers Risk in Stock Investing. Bloomberg Press, 2003.
Znajdź pełny tekst źródłaCzęści książek na temat "STOCK CALL OPTIONS"
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"The Stock Replacement/ Covered Call Strategy (Diagonal Spread)". W Options Theory and Trading, 255–59. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198512.ch14.
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"Compound Stock Earnings Support Services". W Covered Calls and LEAPS - A Wealth Option, 207–9. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119197270.app5.
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"Put Your Stocks to Work-Sell Covered Calls". W Get Rich with Options, 185–203. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198376.ch10.
Pełny tekst źródłaStreszczenia konferencji na temat "STOCK CALL OPTIONS"
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Jiang, Guochao, Susheng Wang i Hailing Dong. "Valuation and Optimal Exercise Time of American Call Option on Stock Paying Stochastic Dividends". W 2011 3rd International Workshop on Intelligent Systems and Applications (ISA). IEEE, 2011. http://dx.doi.org/10.1109/isa.2011.5873430.
Pełny tekst źródłaRaporty organizacyjne na temat "STOCK CALL OPTIONS"
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Jamilov, Rustam, Hélène Rey i Ahmed Tahoun. The Anatomy of Cyber Risk. Institute for New Economic Thinking Working Paper Series, maj 2023. http://dx.doi.org/10.36687/inetwp206.
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This paper employs computational linguistics to introduce a novel text-based measure of firm-level cyber risk exposure based on quarterly earnings conference calls of listed firms. Our quarterly measures are available for more than 13,000 firms from 85 countries over 2002-2021. We document that cyber risk exposure predicts cyber attacks, affects stock returns and profits, and is priced in the equity option market. The cost of option protection against price, variance, and tail risks is greater for more cyber-exposed firms. Cyber risks spill over across firms and persist at the sectoral level. The geography of cyber risk exposure is well approximated by a gravity model extended with cross-border portfolio flows. Back-of-the-envelope calculations suggest that the global cost of cyber risk is over $200 billion per year.