published_or_final_version / abstract / Real Estate and Construction / Doctoral / Doctor of Philosophy

by Ng Kit Yin Kitty, Yu Koon Ying Harry. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 72-75). / ACKNOWLEDGEMENTS --- p.i / ABSTRACT --- p.ii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / The Black-Scholes Model --- p.3 / Option Pricing --- p.4 / Price of the underlying asset --- p.4 / Volatility of the underlying asset --- p.5 / Time to expiration --- p.5 / The risk-free interest rate --- p.5 / Users of Options --- p.6 / Chapter III. --- HANG SENG INDEX OPTIONS --- p.8 / The Hang Seng Index (HSI) --- p.8 / Mechanics of Trading in HSI Options --- p.9 / Features of HSI Options --- p.10 / European Style --- p.11 / Cash Settlement on Exercise --- p.12 / Risk of Trading Options --- p.13 / Similarities and Differences Between HSI Options on the Futures Contracts and HSI Futures --- p.13 / Chapter IV. --- OPTIONS TRADING STRATEGIES --- p.15 / Rising Market Strategies --- p.15 / Declining Market Strategies --- p.17 / Volatile and Stable Market Strategies --- p.18 / Butterfly Spread --- p.20 / Calendar Spread --- p.20 / Chapter V. --- EX-POST STUDIES OF OPTION TRADING STRATEGIES --- p.23 / Methodology --- p.24 / Data Requirement --- p.25 / Assumptions --- p.25 / Empirical Results --- p.26 / Analysis of the First Scenario - Bullish Anticipation on the HSI Market --- p.32 / Ranking of Profits --- p.32 / Mechanics of the Bull Spread --- p.32 / Mechanics of the Calendar Call Spread --- p.32 / Analysis of the Second Scenario - Bearish Anticipation on the HSI Market --- p.39 / Ranking of Profits --- p.39 / Mechanics of the Calendar Put Spread --- p.40 / Analysis of the Third Scenario - Volatile Aniticipation on the HSI Market --- p.43 / Analysis of the Fourth Scenario - Stable Anticipation on the HSI Market --- p.47 / Summary of Our Analysis --- p.47 / Limitations --- p.48 / Recommendations --- p.49 / Chapter VI. --- REVIEW ON HANG SENG INDEX OPTIONS: THE 1993 EXPERIENCE --- p.50 / Relationship Between HSI Futures and HSI Options --- p.50 / Trading Volume --- p.51 / Open Positions --- p.51 / Volatility --- p.52 / Chapter VII. --- PROSPECTS FOR OPTIONS IN HONG KONG --- p.54 / Chapter VIII. --- CONCLUSION --- p.56 / APPENDIX --- p.57 / REFERENCES --- p.72

by Kwong Man-him, Francis, Lee Shuk-yee, Katie. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaves 98-100.

Chan Shuet Ying, Chan Yiu Wing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 122-124). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / LIST OF EXHIBITS --- p.vi / ACKNOWLEDGMENTS --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objective --- p.3 / Scope --- p.3 / Organization of Paper --- p.4 / Chapter II. --- THE HANG SENG INDEX OPTIONS --- p.5 / Description..................: --- p.5 / Mechanics of Hang Seng Index Option Trading --- p.13 / Market Reviews of HSI Options --- p.15 / Chapter III. --- LITERATURE REVIEW --- p.18 / Seasonal Patterns of Stock Returns --- p.18 / Month-of-the-Year Effect --- p.18 / Week-of-the-Month Effect --- p.18 / Day-of-the-Week Effect --- p.19 / Hour-of-the-Week Effect --- p.19 / Seasonality in Options Returns --- p.20 / Model of Strategic Trading --- p.21 / Seasonality in Hong Kong Stock Market --- p.24 / Chapter IV. --- EMPIRICAL STUDY OF INTRADAY PATTERN OF HSI OPTIONS --- p.26 / Data and Methodology --- p.26 / Obtaining data for the price of the underlying assets --- p.26 / Obtaining data for the price of the option contracts --- p.27 / Calculating means and standard deviations of returns --- p.31 / Chapter V. --- RESULTS AND DISCUSSION --- p.32 / Futures percentage returns per minute --- p.37 / Call options percentage returns per minute --- p.38 / Put options percentage returns per minute --- p.39 / Testing the relationship between index options and index future --- p.40 / Chapter VI. --- IMPLICATION OF FINDINGS AND CONCLUSIONS --- p.45 / Implication of Findings --- p.45 / Conclusions --- p.49 / APPENDIX --- p.50 / BIBLIOGRAPHY --- p.122

by Fung Lai-sang & Kwan Tat-shing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 60-64). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- HANG SENG INDEX OPTIONS --- p.3 / Hong Kong Futures Exchange Limited --- p.3 / Hang Seng Index --- p.4 / Basic Characteristics of HSI Options --- p.5 / Chapter III. --- LITERATURE REVIEW --- p.8 / (A) Put-Call Parity --- p.8 / Put-Call Parity on Other Security --- p.10 / Empirical Studies --- p.11 / Put-Call-Futures Parity --- p.12 / (B) Applicability of Black-Scholes Model --- p.14 / Possible Biases in Black-Scholes Model --- p.16 / (C) Hedging Effectiveness of Derivative Instruments --- p.18 / Empirical Evidence --- p.20 / Chapter IV. --- "EMPIRICAL METHODOLOGY, DATA EMPLOYED AND EMPIRICAL FINDINGS" --- p.22 / Chapter (A) --- Methodology and Data Employed in Investigation of Put-Call Parity for HSI Options --- p.22 / Empirical Findings for Put-Call Pariry for HSI Options --- p.26 / Chapter (B) --- Methodology anf Data Employed in Investigation of Applicability of Black-Scholes Model - An Implied Volatility Approach --- p.30 / Empirical Findings for Applicability of Black Scholes Model --- p.35 / Chapter (C) --- Methodology anf Data Employed in Investigation of the Hedging Effectiveness of Different Derivative Instrument / Methodology --- p.40 / Empirical Findings for Hedging Effectiveness of Different Derivative Instruments --- p.45 / Chapter V. --- "CONCLUSIONS, RECENT DEVELOPMENTS AND TRENDS OF HSI OPTIONS" --- p.48 / Conclusions --- p.48 / International Status --- p.49 / Work to Be Done --- p.50 / APPENDICES --- p.51 / BIBLIOGRAPHY --- p.60

by Adelaide Pang Lan-Fong & Danny Poon Yiu-tak. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 83-88). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / LIST OF EXHIBITS --- p.vii / ACKNOWLEDGEMENTS --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / The Black-Scholes Model --- p.3 / The Test of the Applicability of the Black-Scholes Model --- p.4 / Test of predictability of Black-Scholes Model --- p.5 / Implied Volatility Estimation --- p.5 / Chapter III. --- OPTIONS DEFINED --- p.7 / What are Options ？ --- p.7 / Options Pricing --- p.10 / Intrinsic (Theoretical) Value --- p.10 / Time Value --- p.11 / Price Volatility --- p.12 / Interest Rates --- p.12 / Dividends --- p.12 / Chapter IV. --- HANG SENG INDEX OPTIONS --- p.13 / The Hang Seng Index --- p.13 / Specifications for HSI Options --- p.15 / The Trading Procedures of HSI Options --- p.19 / Advantages of Traded Index Options --- p.21 / Risks involved in Options Trading --- p.23 / Risks of Buying Options --- p.23 / Risk of Writing Options --- p.24 / Chapter V. --- BASIC STRATEGIES OF OPTIONS TRADING --- p.25 / Buy Call --- p.26 / Buy Put --- p.26 / Call Writing --- p.26 / Naked Call Writing --- p.26 / Covered Call Writing --- p.26 / Ratio Covered Call Writing --- p.27 / Put Writing --- p.27 / Naked Put Writing --- p.27 / Covered Put Writing --- p.27 / Ratio Covered Put Writing --- p.28 / Spreads --- p.28 / Bull Spreads --- p.28 / Bear Spreads --- p.28 / Butterfly Spreads --- p.29 / Calendar Spreads --- p.29 / Ratio Spreads --- p.30 / Ratio Calendar Spreads --- p.30 / Straddles --- p.30 / Straddle Purchase / Bottom Straddle --- p.31 / Straddle Write / Top Straddle --- p.31 / Strips --- p.31 / Straps --- p.31 / Strangles --- p.31 / Long Strangle / Bottom Vertical Combination --- p.31 / Short Strangle / Top Vertical Combination --- p.32 / Chapter VI. --- PRICING MODEL --- p.33 / The Biack-Scholes Option Pricing Model --- p.33 / Modifications to Original Black-Scholes Pricing Model --- p.33 / Empirical Analysis and Data Collection --- p.34 / Tests used to determine the performance of Black-Scholes Model --- p.38 / Chapter VII. --- EMPIRICAL RESULTS --- p.39 / Chapter VIII. --- CONCLUSIONS --- p.45 / APPENDICES --- p.48 / BIBLIOGRAPHY --- p.83

Lui Ho-Chung, Oliver. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 63-64). / Table of Contents --- p.i / Abstract --- p.iii / List of Tables --- p.v / List of Appendices --- p.vi / Acknowledgments --- p.vii / Chapter / Chapter I --- Methodology --- p.1 / Chapter II --- Issues about the HSIF market --- p.2 / The establishment of the Hong Kong Futures Exchange --- p.2 / The Hang Seng Index --- p.3 / The Hang Seng Index Futures Contracts --- p.4 / Features of futures trading --- p.8 / The 1987 crash and the HKFE --- p.10 / Reforms --- p.12 / The evaluation after the reforms --- p.16 / Existing practices of the HSIF brokerage firms --- p.18 / Issues concerning the HSIF investors --- p.20 / Stimulating the HSIF market --- p.21 / Chapter III --- Issues about options --- p.23 / "Current News (updated to April 20, 1992)" --- p.23 / Options --- p.23 / Determination of option premiums --- p.26 / Options on the Hang Seng Index --- p.28 / Features of options in other markets --- p.30 / Margin requirement --- p.34 / Options on index vs. Options on index futures --- p.36 / Options on index vs. Index futures --- p.37 / Chapter IV --- Issues of option development --- p.39 / Lessons learned from the HSIF market --- p.39 / The trend--derivative products --- p.42 / Factors that make options on the HSI successful --- p.43 / Chapter V --- Conclusion --- p.46 / Appendices --- p.48 / References --- p.63

by Wong Chi Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Monte Carlo Method --- p.2 / Chapter 1.3 --- Outline of Thesis --- p.5 / Chapter 2 --- The Random Number Generators --- p.7 / Chapter 2.1 --- Built-in Random Number Generating Functions --- p.7 / Chapter 2.2 --- Linear Congruential Generators --- p.8 / Chapter 3 --- Memory Reduction Methods --- p.10 / Chapter 3.1 --- The Full-Storage Method --- p.10 / Chapter 3.2 --- The Forward-Path Method --- p.12 / Chapter 3.3 --- The Backward-Path Method --- p.14 / Chapter 4 --- The Least-Squares Method --- p.17 / Chapter 5 --- Numerical Examples --- p.28 / Chapter 6 --- Concluding Remarks --- p.34 / Appendix --- p.36 / Bibliography --- p.38

Zhao Jing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 72-74). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Constant Elasticity of Variance Model --- p.6 / Chapter 2.1 --- The CEV Assumption --- p.7 / Chapter 2.2 --- Properties of the CEV Model --- p.9 / Chapter 2.3 --- Empirical Evidence and Theoretical Support --- p.11 / Chapter 3 --- Option Pricing under CEV --- p.14 / Chapter 3.1 --- The Valuation of European Options --- p.14 / Chapter 3.2 --- The Valuation of American Options --- p.17 / Chapter 3.3 --- "How ""far"" is Enough?" --- p.19 / Chapter 4 --- The Proposed Artificial Boundary Approach --- p.21 / Chapter 4.1 --- Standardized Form of the CEV Model --- p.21 / Chapter 4.2 --- Exact Artificial Boundary Conditions --- p.23 / Chapter 4.3 --- The Integral Kernels and Numerical Laplace Inversion --- p.31 / Chapter 5 --- Numerical Examples --- p.35 / Chapter 5.1 --- General Numerical Scheme --- p.35 / Chapter 6 --- Homotopy Analysis Method --- p.47 / Chapter 6.1 --- The Front-Fixing Transformation --- p.47 / Chapter 6.2 --- Homotopy Analysis Method --- p.49 / Chapter 6.2.1 --- Zero-order Deformation Equation --- p.50 / Chapter 6.2.2 --- High-order Deformation Equation --- p.54 / Chapter 6.2.3 --- Pade Technique --- p.57 / Chapter 6.3 --- Numerical Comparison --- p.58 / Chapter 7 --- Conclusion --- p.63 / Appendix --- p.65 / Chapter A --- The Valuation of Perpetual American Options --- p.65 / Chapter B --- "Derivation of G(Y,r) = Ls-1 ((Y/a)vKv(Y)/sKv(sa)" --- p.66 / Chapter C --- Numerical Laplace Inversion --- p.68 / Bibliography --- p.72

by Lam Wing Shan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaf 41). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background on Option Pricing --- p.3 / Chapter 2.1 --- Financial options --- p.3 / Chapter 2.1.1 --- Basic terms of options --- p.3 / Chapter 2.1.2 --- Trading strategies --- p.4 / Chapter 2.1.3 --- The Principle of no Arbitrage --- p.5 / Chapter 2.1.4 --- Rational boundaries on Option Prices --- p.5 / Chapter 2.1.5 --- American Options --- p.6 / Chapter 2.1.6 --- Put-Call Parity --- p.7 / Chapter 2.2 --- Black-Scholes equation --- p.8 / Chapter 2.2.1 --- Derivation of Black-Scholes equation --- p.8 / Chapter 2.2.2 --- Solution to the Black-Scholes equation --- p.10 / Chapter 3 --- Review on Monte Carlo Method --- p.15 / Chapter 3.1 --- Monte Carlo Simulation --- p.15 / Chapter 3.2 --- Pricing an option using Monte Carlo Method --- p.18 / Chapter 3.3 --- Antithetic Variates Method --- p.21 / Chapter 4 --- Cell Partition Method --- p.23 / Chapter 4.1 --- An Advantage of the Cell Partition Method --- p.23 / Chapter 4.2 --- The Algorithm --- p.24 / Chapter 5 --- Numerical Results --- p.35 / Chapter 6 --- Conclusion --- p.39 / Bibliography --- p.41