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The theory of option valuation.Sewambar, Soraya. January 1992 (has links)
Although options have been traded for many centuries, it has remained a relatively
thinly traded financial instrument. Paradoxically, the theory of option
pricing has been studied extensively. This is due to the fact that many of the
financial instruments that are traded in the market place have an option-like
structure, and thus the development of a methodology for option-pricing may
lead to a general methodology for the pricing of these derivative-assets.
This thesis will focus on the development of the theory of option pricing.
Initially, a fundamental principle that underlies the theory of option valuation
will be given. This will be followed by a discussion of the different types
of option pricing models that are prevalent in the literature.
Special attention will then be given to a detailed derivation of both the
Black-Scholes and the Binomial Option pricing models, which will be followed
by a proof of the convergence of the Binomial pricing model to the
Black-Scholes model.
The Black-Scholes model will be adapted to take into account the payment
of dividends, the possibility of a changing inter est rate and the possibility of
a stochastic variance for the rate of return on the underlying as set. Several
applications of the Black-Scholes model will finally be presented. / Thesis (M.Sc.)-University of Natal, 1992.
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A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced /Lam, Yue-kwong. January 1996 (has links)
Thesis (M.B.A.)--University of Hong Kong, 1996. / Includes bibliographical references (leaf 47-49).
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Evaluation of market efficiency of stock options in Hong Kong /Chen, Kwok-wang. January 1997 (has links)
Thesis (M.B.A.)--University of Hong Kong, 1997.
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Empirical testing of real options in the Hong Kong residential real estate marketYao, Huimin. January 2006 (has links)
Thesis (Ph. D.)--University of Hong Kong, 2006. / Title proper from title frame. Also available in printed format.
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A study of the relationship between volatility premium and option returns over different time horizons: an ex-post and ex-ante empirical analysis using bid-ask dataChan, Chun Keung 26 August 2016 (has links)
There are three distinct avenues of empirical research relating to option returns. (1) attempts to explain option returns; (2) analysis of models forecasting option implied volatility (IV) versus alternative forecasts of futures realized volatility (RV); and (3) estimation of the economic benefit of volatility forecasting. This study shows that the three apparently disparate fields of research are closely related since option returns are positively related to volatility spread, and asset returns are negatively related to volatility shock. We show that IV outperforms, and indeed subsumes, a subset of time-series historical volatility (TS-HV) forecasts in predicting RV, although the finding that TS-HV does not provide incremental information in forecasting RV, the use of the alternative predictor can enhance the economic profit to option traders. The study also shows that option horizons significantly affect the impact of option mispricing and market direction on option returns. We provide incremental evidence that puts are more expensive than calls and reinforce the argument that pricing asymmetry can be attributed to the greater skewness of put returns due to a negative return-volatility relationship.
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Three essays on volatility specification in option valuationMimouni, Karim. January 2007 (has links)
No description available.
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An empirical examination of Value line optionsBroughton, John B. January 1989 (has links)
A number of studies have investigated the performance of common stocks recommended in The Value Line Investment Survey. Little attention, however, has been given to the performance of call options recommended in Value Line Options. This study has two major purposes. The first is to determine whether an investor acting on Value Line’s call purchase recommendations and following Value Line’s prescribed strategy earns abnormal returns, and if so, to identify the portion of the abnormal return that is associated with purchasing calls that are undervalued relative to the prevailing stock price and the portion that is due to the undervaluation of the underlying stock. The second major purpose is to determine whether there is a correlation between Value Line’s option and stock rankings and returns performance. Underlying both of these purposes is a test of the superiority of Value Line’s estimates of future stock price variance relative to volatilities implied by prevailing market stock and call option prices. The results indicate that abnormal returns are earned by following the prescribed strategy but that abnormal returns are eliminated after consideration of transactions costs. There is, however, a strong and persistent correlation between option rankings and returns performance. In general, the results are consistent with the relative superiority of Value Line’s estimates of future stock price variance. / Ph. D.
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Specifications of delivery options in interest rate futuresChoi, Ka-fai., 蔡家輝. January 2001 (has links)
published_or_final_version / Economics and Finance / Master / Master of Economics
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Essays on long memory processes and volatilityHwang, Soosung January 1997 (has links)
No description available.
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Applications of stochastic differential equations in economics and financeSabanis, Sotirios January 2001 (has links)
No description available.
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