This study is a test of the efficiency of the London Traded Options Market. Because it uses the Black-Scholes Option Pricing Model, it is also a test of option pricing. In the process of examining call option price behaviour it investigates the effects of three empirical factors. First, it investigates the effect of a non-constant share price volatility. Hitherto, there has been no agreed procedure on modelling or forecasting the future share price volatility. This study shows that the GARCH process has the best forecasting accuracy. The ex ante GARCH volatility estimate is then incorporated in the Black-Scholes model. Because the volatility is assumed constant in the Black-Scholes model, the consideration of adapting the GARCH volatility into the model sheds insight on bridging empirical results and theoretical requirements. Second, because the London Traded Options Market is thinly traded the quoted prices may not reflect prices at which trade did or could take place. However, information on call option trading volume may not be available. This study develops and implements an analytical criterion to select the most actively traded call options. The call options selected by this criterion bear the basic characteristics of those frequently traded call options where trading volume is available. Third, this study uses the bid and ask quotations for shares and call options to test the efficiency of the London Traded Options Market. By incorporating the bid-ask spread directly in the establishment of arbitrage portfolios, an accurate assessment of transactions data can be made. The results of incorporating these factors in the test for market efficiency reveal that, despite the identification of mispriced call options, it would not have been possible to exploit the mispricing by setting up arbitrage portfolios. It must therefore be concluded that the London Traded Options Market was trading efficiently over the period of this study.

Thesis (Ph. D.)--University of Washington, 2005. / Vita. Includes bibliographical references (p. 87-93).

This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.

Thesis (M.B.A.)--University of Hong Kong, 1992.

本論文共分七章二十七節。主要內容如下： 第一章為緒論。說明撰寫本論文之動機和目的、研究方法、範圍暨限制以及論文架構。 第二章為金融創新之本質與金融商品開放之理由。介紹金融創新的定義、種類、源起及發展，並探討外匯期貨暨選擇權在金融創新中之歸類、定位，以及金融商品應開放之理由。 第三章為我國現行的外匯管理制度及避險工具。首先說明我國目前外匯管理制度的特色，其次就外匯風險之類型加以分類，並介紹我國現有之主要匯率避險工具－遠期外匯暨其它匯率避險工具，最後則針對我國遠期外匯市場交易清淡之原因進行探討。 第四章為外匯期貨契約。除了介紹外匯期貨契約的起源、經濟功能及法律概念與規範意義外，並對保證金之制度及法律性質加以說明。另外，則對美、日、新加坡之外匯期貨交易制度進行比較，並特別介紹互相結轉沖銷系統(MOS)及全球交易系統 (Globex)。最後，則針對外匯期貨交易中之避險及投機操作，逐一舉例說明分析。 第五章為外匯選擇權契約。本章首先介紹外匯選擇權之起源、定義及種類；接著說明其法律性質、規範意義與實務操作，並綜合比較遠期外匯、外匯期貨暨選擇權；最後則對我國國外期貨交易法加以評釋。 第六章為金融規範分析-Laffer Curve 於政府修法時之應用。本章為法律之經濟分析，筆者嘗試將成本效益分析、博弈理論(Game Theory)及諮商(Negotiation)策略應用到政府之立法上面。探討法令規範之最適規模及其與時間函數之關係，並檢討「立法從嚴、執法從寬」暨「惡法亦法」之不當。 第七章為結論與建議。本章以摘要方式將前述章節內容做一總結，並對正草擬中之國內期貨交易法提出筆者淺見，俾供參考。 / GATT is the most important organization which governedrld trade since it was founded in 1948. since China15th trader in the world,so it certainly cannotutside of GATT.China's special case has given rise to certain legalonomic problems,which have made its participation intill remain unsolved.legal issues come from China's request for "resumptioninal membership".This request will cause difficult whens to some rights and obligations under GATT such asion ticket,grandfather clause and non-application clause.ms GATT will "acknowledge" China's orginal seat,butneeds to negotiate is terms and obligations as a newant.economic problems are caused by China's non-marketic system and its claim for developing country status.hough China has carried out many reforms on economicure,major GATT contracting parties still think China'sy and trade regime are not liberlized enough to fit GATT.ina's great potential export power makes other countriesant to give China special treatment which other developingies enjoy.to China's reform of its trade system,China only has toake tariff concession without undertaking other importments which some East European countries have made. Chinareally like to avoid discriminatory quantity restriction special safeguard clauses,but other contracting partiest likely to permit this.use of changes in international circumstances, theation of China's participation has made no progress during991.After 1992,the negotiation begin to accelerate,butcan' t reach a certain conclusion.

隨著財務工程學的發展，結構型商品的架構日趨複雜，連結標的也更加多元化，可依投資人對市場未來的預期，設計出不同的商品型態，滿足投資人財富管理的需求或企業理財的規劃。但因為一般投資人不容易了解結構型商品複雜的設計，可能發生投資報酬不符預期或忽略商品潛在風險的情況。 本論文以建華銀行「美金組合式商品連動債券」與「固定期限交換利率利差連動債券」為例，進行評價與避險分析，以互換選擇權推導極小值選擇權的評價方法推導次小值選擇權的封閉解，並與蒙地卡羅模擬結果相較；利用對數常態遠期LIBOR利率模型評價連結固定期限交換利率的商品。最後進行投資與避險策略分析。希望能增進投資人對商品風險與報酬的認識，和提供金融機構未來設計相關類型商品時，對於評價與避險之理論基礎和方法的一個參考。

This thesis consists of extensions of results on a perpetual American swaption problem. Companies routinely plan to swap uncertain benefits with uncertain costs in the future for their own benefits. Our work explores the choice of timing policies associated with the swap in the form of an optimal stopping problem. In this thesis, we have shown that Hu, Oksendal's (1998) condition given in their paper to guarantee that the optimal stopping time is a.s. finite is in fact both a necessary and sufficient condition. We have extended the solution to the problem from a region in the parameter space where optimal stopping times are a.s. finite to a region where optimal stopping times are non-a.s. finite, and have successfully calculated the probability of never stopping in this latter region. We have identified the joint distribution for stopping times and stopping locations in both the a.s. and non-a.s. finite stopping cases. We have also come up with an integral formula for the inner product of a generalized hyperbolic distribution with the Cauchy distribution. Also, we have applied our results to a back-end forestry harvesting model where stochastic costs are assumed to exponentiate upwards to infinity through time. / Graduation date: 2013

本論文推導違約風險下四種新奇選擇權的評價模型及其避險比率，依序為數據選擇權、寬它選擇權、互換選擇權，極值選擇權。並比較無違約風險與違約風險下的評價模型之差異。假若違約風險不存在時，違約風險下各種類型選擇權的評價模型皆會縮減成為無違約風險下所對應的評價模型。避險比率亦為如此。數值範例則印證違約風險下選擇權的價值較無違約風險選擇權的價值低。本論文完成目前尚無任何學術研究於違約風險下四種新奇選擇權的評價模型及避險比率。這是一個重要貢獻。 關鍵詞：違約風險、新奇選擇權、數據選擇權、寬它選擇權、互換選擇權、極值選擇權。 / This paper presents the analytic pricing formula and the hedging ratio of four kinds of exotic options with correlated credit risk. They are Digital options, Quanto Options, Exchange Options and Extreme-value Options, respectively. Furthermore, compare the discrepancy of the models under the condition whether the default risk exists. Finding that if there is no default risk, all models that we derive will reduce to the corresponding models with no default risks, and so do the hedging ratio. Numerical examples certify that the value of the vulnerable options will be lower than that of the ordinary options. All above that finished has not been done by existing researches and it is a chief contribution in this paper. Keywords: Exotic Options, Credit Risk, Digital Options, Quanto Options, Exchange Options, Extreme-value Options, Default Risk.