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Статті в журналах з теми "STOCK CALL OPTIONS"
Antwi Baafi, Joseph. "The Nexus Between Black-Scholes-Merton Option Pricing and Risk: A Case of Ghana Stock Exchange." Archives of Business Research 10, no. 5 (May 24, 2022): 140–52. http://dx.doi.org/10.14738/abr.105.12350.
Повний текст джерелаBlau, Benjamin M., T. Boone Bowles, and Ryan J. Whitby. "Gambling Preferences, Options Markets, and Volatility." Journal of Financial and Quantitative Analysis 51, no. 2 (April 2016): 515–40. http://dx.doi.org/10.1017/s002210901600020x.
Повний текст джерелаCremers, Martijn, and David Weinbaum. "Deviations from Put-Call Parity and Stock Return Predictability." Journal of Financial and Quantitative Analysis 45, no. 2 (February 19, 2010): 335–67. http://dx.doi.org/10.1017/s002210901000013x.
Повний текст джерелаHoyyi, Abdul, Abdurakhman Abdurakhman, and Dedi Rosadi. "VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION." MEDIA STATISTIKA 14, no. 2 (December 12, 2021): 183–93. http://dx.doi.org/10.14710/medstat.14.2.183-193.
Повний текст джерелаStolorz, Beata. "Probability of Exercise of Option." Folia Oeconomica Stetinensia 6, no. 1 (January 1, 2007): 1–14. http://dx.doi.org/10.2478/v10031-007-0001-8.
Повний текст джерелаBae, Kwangil. "Analytical Approximations of American Call Options with Discrete Dividends." Journal of Derivatives and Quantitative Studies 26, no. 3 (August 31, 2018): 283–310. http://dx.doi.org/10.1108/jdqs-03-2018-b0001.
Повний текст джерелаSzu, Wen-Ming, Yi-Chen Wang, and 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, no. 02 (June 2015): 1550010. http://dx.doi.org/10.1142/s0219091515500101.
Повний текст джерелаBroughton, John B., Don M. Chance, and David M. Smith. "Implied Standard Deviations And Put-Call Parity Relations Around Primary Security Offerings." Journal of Applied Business Research (JABR) 15, no. 1 (August 31, 2011): 1. http://dx.doi.org/10.19030/jabr.v15i1.5683.
Повний текст джерелаBUCKLEY, JAMES J., and ESFANDIAR ESLAMI. "PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS." New Mathematics and Natural Computation 04, no. 02 (July 2008): 165–76. http://dx.doi.org/10.1142/s1793005708001008.
Повний текст джерелаChauhan, Arun, and Ravi Gor. "COMPARISON OF THREE OPTION PRICING MODELS FOR INDIAN OPTIONS MARKET." International Journal of Engineering Science Technologies 5, no. 4 (July 20, 2021): 54–64. http://dx.doi.org/10.29121/ijoest.v5.i4.2021.203.
Повний текст джерелаДисертації з теми "STOCK CALL OPTIONS"
Lee, Son Matthew Robert. "Predicting returns with the Put-Call Ratio." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/30616.
Повний текст джерелаDissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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.
Повний текст джерелаDissertation (MSc)--University of Pretoria, 2011.
Mathematics and Applied Mathematics
unrestricted
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.
Повний текст джерелаCONSELHO 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.
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.
Повний текст джерелаAlpert, 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.
Повний текст джерелаVenemalm, 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.
Повний текст джерелаIglesias, 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/.
Повний текст джерелаThis 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.
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.
Повний текст джерелаI 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.
Chen, Wei-Chen, and 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.
Повний текст джерела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
Wen, Chien-Sheng, and 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.
Повний текст джерела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.
Книги з теми "STOCK CALL OPTIONS"
Exit strategies for covered call writing: Making the most money when selling stock options. Tucson, Ariz: Wheatmark, 2009.
Знайти повний текст джерелаEllman, Alan. Exit strategies for covered call writing: Making the most money when selling stock options. Tucson, Ariz: Wheatmark, 2009.
Знайти повний текст джерела1937-, Schwartz Robert A., Beiner Nicole, and Humbach Miriam J, eds. The electronic call auction: Market mechanism and trading : building a better stock market. Boston: Kluwer Academic Publishers, 2001.
Знайти повний текст джерелаCaes, Charles J. Selling covered calls: The safest game in the option market. Blue Ridge Summit, PA: Liberty Hall Press, 1990.
Знайти повний текст джерелаHow to make money with puts and calls: The smart way to unlimited profits with the least amount of risk. Gloucester, MA: Sigma Pub., 1993.
Знайти повний текст джерелаPractical considerations in picking the covered call. Upper Saddle River, N.J: FTPress Delivers, 2010.
Знайти повний текст джерелаHoechlin, 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.
Знайти повний текст джерелаLewis, 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.
Знайти повний текст джерелаNew Insights on Covered Call Writing: The Powerful Technique That Enhances Return and Lowers Risk in Stock investing. Bloomberg Press, 2003.
Знайти повний текст джерелаMcMillan, Lawrence G., and Richard Lehman. New Insights on Covered Call Writing: The Powerful Technique That Enhances Return and Lowers Risk in Stock Investing. Bloomberg Press, 2003.
Знайти повний текст джерелаЧастини книг з теми "STOCK CALL OPTIONS"
"The Stock Replacement/ Covered Call Strategy (Diagonal Spread)." In Options Theory and Trading, 255–59. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198512.ch14.
Повний текст джерела"Compound Stock Earnings Support Services." In 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.
Повний текст джерела"Put Your Stocks to Work-Sell Covered Calls." In Get Rich with Options, 185–203. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198376.ch10.
Повний текст джерелаТези доповідей конференцій з теми "STOCK CALL OPTIONS"
Jiang, Guochao, Susheng Wang, and Hailing Dong. "Valuation and Optimal Exercise Time of American Call Option on Stock Paying Stochastic Dividends." In 2011 3rd International Workshop on Intelligent Systems and Applications (ISA). IEEE, 2011. http://dx.doi.org/10.1109/isa.2011.5873430.
Повний текст джерелаЗвіти організацій з теми "STOCK CALL OPTIONS"
Jamilov, Rustam, Hélène Rey, and Ahmed Tahoun. The Anatomy of Cyber Risk. Institute for New Economic Thinking Working Paper Series, May 2023. http://dx.doi.org/10.36687/inetwp206.
Повний текст джерела