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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_319285 |
| Date | January 1994 |
| Contributors | Ng, Kit Yin Kitty., Yu, Koon Ying Harry., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 75 leaves : ill. ; 30 cm. |
| Coverage | China, Hong Kong, China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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