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Full-Text Articles in Business
Options Pricing Through Computational Methods, Robert Petty
Options Pricing Through Computational Methods, Robert Petty
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The purpose of this paper is to show the practical application of computational methods to price options. Emphasis is especially given to the use of the Longstaff-Schwartz method for pricing American and exotic options. An implementation of these pricing methods in a computer program are demonstrated. The advantages of using object-oriented programming design patterns to make pricing programs more flexible and useful is also discussed.
Object-Oriented Programming: A Method For Pricing Options, Leonard Stewart Higham
Object-Oriented Programming: A Method For Pricing Options, Leonard Stewart Higham
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In the world of finance, it’s becoming necessary to obtain computer programming knowledge and experience, a marketable skill that prepares one conduct quantitative analysis. The objective of this thesis is to utilize concepts in finance and computer science together to form a pricing library for financial derivatives, thus, develop a strong skillset in a specific area of financial computational methods. Through implementation of object-oriented programming and specific design patterns in Python, I develop a pricing engine for many types of options, from plain vanilla to unique and complex options, with the focus on the ability to reuse and extend various …
Single Stock Futures And Stock Options: Complement Or Substitutes, Cuyler Strong
Single Stock Futures And Stock Options: Complement Or Substitutes, Cuyler Strong
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Are single stock futures and stock options complement or substitute goods? In this study, I test this research question by examining option trading activity (option volume and open interest) surrounding an arguably exogenous introduction of single stock futures. This event study provides a natural experiment that allows us to make causal inferences about how the presence of single stock futures affects the options market. While it is commonly thought that single stock futures and options are substitute goods, my evidence instead suggests that they are complements. While I observe very little change in option volume surrounding the introduction of single …
Pre-Holiday Anomaly: Examining The Pre-Holiday Effect Around Martin Luther King Jr. Day, Scott E. Jones
Pre-Holiday Anomaly: Examining The Pre-Holiday Effect Around Martin Luther King Jr. Day, Scott E. Jones
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
This paper looks at the 17 years leading up to Martin Luther King Jr. day becoming a non-traded holiday and the 17 years since to see if this exogenous shock to the market resulted in abnormal rates of return on the day before the holiday (known as the pre-holiday effect). I also look to see if evidence of abnormal returns still exists before Christmas and July 4th during the same time period. I used daily data on the equally-weighted universe of stocks, the value-weighted universe of stocks, and the S&P 500. I find that while there is some evidence …
Reanalyzing The Political Stability Of Britain's Democratization, Nathan R. Burton
Reanalyzing The Political Stability Of Britain's Democratization, Nathan R. Burton
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
A recent article in Journal of Economic History by Dasgupta and Ziblatt uses bond yields to analyze the political risk of the 19th century democratization legislation of Britain known as the Reform Acts. Dasgupta and Ziblatt find that the volatility of yields is relatively high during periods of legislation, and model the yields via GAM method, concluding that the political risk associated with the Reform Acts was high. I reproduce the study and comparing those times of 'high' volatility to all periods and find nothing to compare high-volatility periods to, suggesting that it is inconclusive whether the Reform Acts were …