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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_318265 |
| Date | January 1995 |
| Contributors | Fung, Lai-sang., Kwan, Tat-shing., 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, vii, 64 leaves ; 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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