Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2005. / Includes bibliographical references (leaves 56-57). Also available in electronic version.

This thesis conducts an extensive study on the risk and return of option writing strategies. Chapter 2 compares covered option writing strategies with pure directional futures positions. Specifically, the chapter compares the performance of a covered call writing strategy with a long futures position and that of a covered put writing strategy with a short futures position. The empirical results show that the covered option writing strategies outperform the corresponding pure directional futures positions on a risk-adjusted basis. Chapter 3 of the thesis focuses on studying returns from writing uncovered or “naked at-the-money (ATM) and out-of-the-money (OTM) put and call options. The mean returns from writing call options and writing put options are both positive. The returns from writing put options are higher than those from writing call options. The study finds that the market return and the realized volatility are negatively related, consistent with the general findings. The negative correlation between futures returns and the volatility forces the returns from writing put options to be more negatively skewed than the returns from writing call options. These findings help explaining the high volatility spread (or negative volatility risk premium) investors are willing to pay for put options. Even astute traders may find the prices of put options are justified since put options are powerful instruments to bet simultaneously on both the market direction and the volatility. The results of the chapter also provide an alternative explanation on the implied volatility structure of put and call options. Chapter 4 extensively tests the economic value of forecasting volatility by comparing the performance between trades that incorporate a volatility forecast and those that do not. The chapter is motivated by the fact that the performance of an option writing strategy is significantly affected by the “ex-post volatility spread i.e., the difference between the implied volatility of an option and the realized volatility of the underlying over the life of the option. The chapter finds that option implied volatility dominates other time-series models in forecasting volatility, a result consistent with the literature. Despite this fact, the study shows that there are significant incremental economic benefits for forecasting volatility.

Cheung Ying Lok. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 46-47). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Review on the fast mean-reverting stochastic volatility --- p.5 / Chapter 2.1 --- Estimation of mcan reversion ratc --- p.5 / Chapter 2.2 --- Methodology of pricing European option --- p.6 / Chapter 2.3 --- Capturing European smiles --- p.7 / Chapter 2.4 --- Model settings to GAO --- p.9 / Chapter 3 --- Pricing GAOs in asymptotic expansions --- p.12 / Chapter 3.1 --- Floating strike gcomctric Asian call --- p.16 / Chapter 3.2 --- Fixed strike gcomctric Asian call --- p.19 / Chapter 3.3 --- General gcomctric Asian claims --- p.21 / Chapter 4 --- Accuracy of pricing approximation --- p.24 / Chapter 5 --- Volatility smiles and calibration --- p.38 / Chapter 5.1 --- Capturing Asian smiles --- p.39 / Chapter 5.2 --- Capturing Asian and European smiles together --- p.41 / Chapter 6 --- Conclusion --- p.44 / References --- p.46 / Graphs --- p.48

Guo, Min. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 66-69). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Notation and Model --- p.8 / Chapter 2.1 --- Notation --- p.9 / Chapter 2.2 --- Classical News vendor Model --- p.11 / Chapter 2.3 --- The Price of the Put Option --- p.12 / Chapter 2.4 --- Extended Models with the Option --- p.13 / Chapter 3 --- Literature Review --- p.16 / Chapter 4 --- Objective I ´ؤ Maximizing Expected Profit --- p.24 / Chapter 4.1 --- Single Decision Variable Case: K = Q --- p.24 / Chapter 4.2 --- Two Decision Variable Case: K ≤Q --- p.25 / Chapter 4.3 --- Summary of the Chapter --- p.28 / Chapter 5 --- Objective II ´ؤ Maximizing the Probability of Achieving A Target Profit --- p.30 / Chapter 5.1 --- Single Decision Variable Case: K = Q --- p.30 / Chapter 5.2 --- Two Decision Variable Case: K ≤ Q --- p.37 / Chapter 5.3 --- Numerical Examples --- p.38 / Chapter 5.4 --- Summary of the Chapter --- p.41 / Chapter 6 --- Objective III ´ؤ Minimizing Profit Variance --- p.43 / Chapter 6.1 --- Minimizing Profit Variance through R --- p.44 / Chapter 6.2 --- Minimizing Profit Variance through K --- p.51 / Chapter 6.2.1 --- Special Case R = s --- p.54 / Chapter 6.3 --- Summary of the Chapter --- p.60 / Chapter 7 --- Conclusion --- p.63 / Bibliography --- p.69

Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2002. / Includes bibliographical references (leaves 50). Also available in electronic version. Access restricted to campus users.

Thesis (Honors)--College of William and Mary, 2009. / Includes bibliographical references (p. 82-83). Also available via the World Wide Web.

Thesis (doctoral)--Universität Breslau.

Thesis (Ph. D.)--University of Chicago, Graduate School of Business, August 2000. / Includes bibliographical references. Also available on the Internet.

Thesis (Post-Doctoral) -- Universität München, 2006. / Includes bibliographical references (p. [109]-119).

Thesis (Ph.D.)--York University, 2004. Graduate Programme in Economics. / Typescript. Includes bibliographical references (leaves 81-84). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://wwwlib.umi.com/cr/yorku/fullcit?pNQ99251