by Fu Yiu-Hang. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 66-67). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.ii / LIST OF TABLES --- p.vi / LIST OF EXHIBITS --- p.vii / PREFACE --- p.viii / ACKNOWLEDGMENTS --- p.x / Chapter / Chapter I. --- INTRODUCTION --- p.1 / What is an Option? --- p.1 / Options Market --- p.2 / Uses of Options --- p.2 / Value of Options --- p.3 / Index Options --- p.4 / Hang Seng Index Options --- p.4 / Chapter II. --- BASIC PROPERTIES OF OPTIONS --- p.5 / Assumptions --- p.5 / Notation --- p.5 / Option Prices at Expiration --- p.6 / Call Option Prices at Expiration --- p.6 / Put Option Prices at Expiration --- p.6 / Upper Bounds for Option Prices --- p.6 / Upper Bounds for Call Option Prices --- p.6 / Upper Bounds for Put Option Prices --- p.6 / Lower Bounds for European Option Prices --- p.7 / Lower Bounds for European Call Option Prices --- p.7 / Lower Bounds for European Put Option Prices --- p.8 / Put-Call Parity --- p.8 / Chapter III. --- FACTORS AFFECTING OPTION PRICES --- p.10 / Price of Underlying Instrument --- p.10 / Exercise Price of the Option --- p.10 / Volatility of the Price of Underlying Instrument --- p.11 / Time to Expiration --- p.11 / Risk-free Rate --- p.11 / Dividends --- p.12 / Chapter IV. --- OPTION PRICING MODEL --- p.13 / Assumptions --- p.13 / The Price of Underlying Instrument Follows a Lognormal Distribution --- p.13 / The Variance of the Rate of Return of Underlying Instrument is a Constant --- p.17 / The Risk-free Rate is a Constant --- p.19 / No Dividends are Paid --- p.20 / There are No Transaction Costs and Taxes --- p.20 / The Black-Scholes Option Pricing Model --- p.21 / Notation --- p.21 / The Formulas --- p.21 / The Variables --- p.22 / Properties of the Black-Scholes Formulas --- p.22 / Implied Volatility --- p.23 / Bias of the Black-Scholes Option Pricing Model --- p.26 / Other Option Pricing Models。……………… --- p.27 / Chapter V. --- SENSITIVITIES OF OPTION PRICE TO ITS FACTORS --- p.29 / Delta --- p.29 / Vega --- p.30 / Theta --- p.31 / Rho --- p.32 / Gamma --- p.33 / Managing the Change in the Value of Option --- p.34 / Sensitivities of Portfolio Value to the Factors --- p.34 / Chapter VI. --- TRADING STRATEGIES OF OPTIONS --- p.35 / Methodology --- p.35 / Limitations --- p.36 / Basic Strategies --- p.37 / Long Call --- p.37 / Short Call --- p.39 / Long Put --- p.40 / Short Put --- p.42 / Spread Strategies --- p.43 / Money Spread --- p.43 / Ratio Spread --- p.46 / Box Spread --- p.46 / Butterfly Spread --- p.46 / Condor --- p.49 / Calendar Spread --- p.49 / Diagonal Spread --- p.52 / Combination Strategies --- p.52 / Straddle --- p.52 / Strap --- p.54 / Strip --- p.54 / Strangle --- p.54 / Selecting Trading Strategies Intelligently --- p.56 / Chapter VII. --- CONCLUSIONS --- p.57 / APPENDICES --- p.60 / BIBLIOGRAPHY --- p.66
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322487 |
| Date | January 1999 |
| Contributors | Fu, Yiu-Hang., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, x, 67 leaves : ill. ; 30 cm. |
| 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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