Open Access. Powered by Scholars. Published by Universities.®
- Institution
Articles 1 - 6 of 6
Full-Text Articles in Business
Essays On The Term Structure Of Volatility And Option Returns, Vincent Campasano
Essays On The Term Structure Of Volatility And Option Returns, Vincent Campasano
Doctoral Dissertations
The first essay studies the dynamics of equity option implied volatility and shows that they depend both upon the option’s time to maturity (horizon) and slope of the implied volatility term structure for the underlying asset (term struc ture). We propose a simple, illustrative framework which intuitively captures these dynamics. Guided by our framework, we examine a number of volatility trading strategies across horizon, and the extent to which profitability of trading strategies is due to an interaction between term structure and realized volatility. While profitable trading strategies based upon term structure exist for both long and short horizon options, …
Essay On Asset Pricing, Fei Gao
Essay On Asset Pricing, Fei Gao
Dissertations and Theses Collection (Open Access)
We uncover a novel stock return predictor from the options market, the volume-weighted strike-spot price ratio (VWKS) across all traded option contracts. High (low) VWKS indicates that the mass of options volume on an underlying stock centers at the out-of-the-money region of call (put) options. Empirically, VWKS has positive and robust predictive ability for underlying returns after controlling for a long list of variables including known return predictors from the options market, stock illiquidity, and past stock returns, and has more persistent and stronger predictive power for stocks with higher information asymmetry and arbitrage costs. We also find that VWKS …
Is Silence The Answer?, Gator Adams
Is Silence The Answer?, Gator Adams
CMC Senior Theses
This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.
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.
Two Essays On Corporate Hedging: The Choice Of Instruments And Methods, Pinghsun Huang
Two Essays On Corporate Hedging: The Choice Of Instruments And Methods, Pinghsun Huang
LSU Doctoral Dissertations
This dissertation examines corporate use of derivative instruments and multi-period hedging methods. It studies the use of linear (e.g. futures) and nonlinear (e.g. options) derivatives in a sample of 382 U.S. non-financial firms (920 firm-year observations) between 1992 and 1996. It also measures the performance of stacked hedge techniques with applications to three investment assets (heating oil, light crude oil, and unleaded gasoline) and to three commercial commodities (British Pound, Deutsche Mark, and Swiss Franc). In a stacked hedge, corporations hedge the long-term exposures by repeatedly rolling nearby futures contracts until settlement. Analyzing the 382 firms, I find that both …
An Empirical Comparison Using Both The Term Structure Of Interest Rates And Alternative Models In Pricing Options On 90-Day Bab Futures, Irene Chau
Theses: Doctorates and Masters
The use of the term structure of interest rates to price options is relatively new in the literature. It describes the relationship between interest rates and the maturities of bonds. The first model that described the interest rate process was the Vasicek (1977) model. There have been many studies on the formulation of theoretical pricing models. Yet limited empirical research has been done in the area of actually testing the models. In this thesis we report the results of a set of tests of the models indicated below. This paper involves analysis of the pricing errors of the Black model …