Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 6 of 6
Full-Text Articles in Business
Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin
Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The 1973 Black-Scholes model, a revolutionary option pricing formula whose price is 'relatively close to observed prices, makes an assumption that the volatility is constant and thus, deterministic. This causes some inefficiencies and patterns in the pricing of options due to the model providing evidence of the volatility smile' of the volatility. Many scholars have suggested that the volatility should be modelled by a stochastic process and the (1993) Heston Model is one of many proposed solutions to remedy this problem. The Heston Model allows for the 'smile' by defining the volatility as a stochastic process. This thesis considers a …
The Effect Of Kurtosis On The Cross-Section Of Stock Returns, Abdullah Al Masud
The Effect Of Kurtosis On The Cross-Section Of Stock Returns, Abdullah Al Masud
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this study, I show an effect of the statistical fourth moment on stock returns. In the mean-variance framework, rational investors follow two strategies: optimize the mean{variance of return and diversify the portfolio. Regarding the first approach, investors intend to generate the maximum level of return while facing a constant level of risk (or, the standard deviation) of return. It is possible that firm specific risk can be concentrated in the portfolio. However, diversification of the assets can eliminate that (idiosyncratic) risk from the portfolio. After a long period of time, in a diversified portfolio the shape of the return …
How Advertisers Mess With Our Minds And Wallets, Ann House
How Advertisers Mess With Our Minds And Wallets, Ann House
All Current Publications
This publication provides insight on how marketers gain consumers' interest and trust and what rights consumers are entitled to.
Wise Charitable Giving, Ann House, Janet Andersen
Wise Charitable Giving, Ann House, Janet Andersen
All Current Publications
This publication provides ten tips to smart, charitable giving.
Credit Scores - More Important Now Than Ever, M. J. Bouck, Ann House, Al Bingham
Credit Scores - More Important Now Than Ever, M. J. Bouck, Ann House, Al Bingham
All Current Publications
This publication puts an emphasis on the importance of credit scores.
Three Essays On Stock Market Volatility, Qianru Li
Three Essays On Stock Market Volatility, Qianru Li
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
Volatility is inherently unobservable, and thus the selection of models and their definition is crucial in financial research. This dissertation attempts to check the role of investor sentiment and forecast Value-at-Risk (VaR) of the stock market using both parametric and nonparametric approaches. In the first essay, based on daily return data of three stock indices and four individual stocks from January 1988 to December 2006, the role of day-of-the-week, as well as investor sentiment, is examined using two approaches: linear regression to test investor sentiment effect on stock returns and Logit regression to test the investor sentiment effect on market …