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Showing 1 to 20 of 33 for “"Call Options"”.
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Rebalancing strategies for synthetic call options
… synthetic option strategy replicates listed call options and theoretical Black-Scholes (BS) call premiums. Three rebalancing methods are implemented to trigger changes in the stock/debt mix: time--the portfolio is changed at fixed intervals, delta--after the delta value changes by certain …
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Pricing of call options on foreign exchange
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1994.
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Put and call options: a theoretical and market analysis
Thesis (Ph.D.)--Massachusetts Institute of Technology. Dept. of Economics and Engineering, 1956.
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Pension Plans and the Writing of Fully-Covered Exchange Traded Call Options
Made available in DSpace on 2014-12-14T14:17:10Z (GMT). No. of bitstreams: 1 8004180.pdf: 5868339 bytes, checksum: 2f3f215d14df73f99441e7e27978fcf4 (MD5) Previous issue date: 1979
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The Effects of Dilutions and Payout Policy on Equity- and Stock-linked Call Options on a Firm with Leverage
… changing capital-debt structures on the value of options. Backwell et al. (2022) developed a capital structure framework which, in addition to a typical structural model, specifically considers the number of outstanding shares. This allows for the differentiation between options on total firm …
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Stock Option Returns, a Puzzle
… assumptions, the expected returns of European call options must be positive and increasing in the strike price. This paper investigates the returns to call options on individual stocks that do not have an ex-dividend day prior to expiration. The main findings are that over the 1996 to 2005 …
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Real Options Models in Real Estate
… thesis is to investigate the usefulness of real options analysis, taking case studies of problems in real estate. In the realm of real estate, we consider the following three problems. First, we consider the valuation and usefulness of presale contracts of condominiums, which can be viewed as …
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Three essays in options pricing: 1. Volatilities implied by price changes in the S&P 500 options and future contracts 2. Price changes in the S&P options and futures contracts: a regression analysis 3. Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
… are tick-data on pit traded S&P 500 futures options and their underlying from 1998 to 2006. I find that implied price change volatility has similar time series behavior and moneyness and maturity effects as implied volatility. However, the price change volatility is more disperse than implied …
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Reducing forward buying through derivatives
… "forward buying", through the use of derivatives options, similar to those used on commodities exchanges. The reinforcing cycle of overbuying on promotion, which leads companies and industries into inescapable cycles of capacity excess & shortage, is explored and a framework for breaking free …
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Investor preferences in the securities options market
… overprice out-of-the-money and deep-in-the-money call options while underpricing in-the-money and deep-out-of-the-money calls. In addition, research has shown these biases have different signs in different time periods. We propose that when investors maximize expected utility for …
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Pricing options in a fuzzy environment
… impacts of market participants on European options. Specifically this is done by modifying the approach that was originally taken by Black and Scholes. The Hew model, which is known as the fuzzy drift parameter model, begins by replacing the deterministic drift within Brownian motion with a …
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An analysis of the use of discounted cash flow methods and real options to value flexibility in real estate development projects
… discounted cash flow methods (DCF) may systematically undervalue strategic or large-scale real estate development projects. Two methods are introduced as an alternative to address the weaknesses of the DCF methods. Decision Tree Analysis (DTA) employs an approach to analyse flexibilities by …
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Option pricing and machine learning: a comparison of black-scholes, bachelier, and artificial neural networks
… model (or derivatives thereof) when pricing options practically since the introduction of the model in 1973. The recent coronavirus pandemic and the oil futures price crash of April 2020 have caused major markets to briefly switch to the less widely-known Bachelier model to price derivatives, …
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Pricing methods for American options
… of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered. These are Lattice Methods, Analytic Approximations and Monte Carlo Simulation. Methods will be contrasted in terms of accuracy and speed of the computed American option price. One …
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Convertible Trade Credits: a new way of creating value
… difficulties raising funding for the same real call option and asked whether it would be advantageous to rely on key vendors to finance it. The answer to the question was affirmative. We found that the new proposed Convertible Trade Credits Contract creates value for both parties in the …
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An empirical examination of Value line options
… however, has been given to the performance of call options recommended in Value Line Options. This study has two major purposes. The first is to determine whether an investor acting on Value Line’s call purchase recommendations and following Value Line’s prescribed strategy earns abnormal …
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Stock Option Valuation for Thinly Traded Enterprises: Comparing the Historically Based Intrinsic Value Model to the Black-Scholes-Merton Model
… is often affected by the valuation of stock options. For large, regularly traded companies, the valuation of stock options isn't an issue because these companies have valuation data for publicly traded options. For thinly traded, highly volatile companies, the issue of establishing a fair …
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The required ansatz to construct Lie point transformations and the symmetries of a first-order stochastic differential equation
… its use has shown the relationship between call options and their non-deterministic underlying stock prices. Wiener processes must be considered in finding an approximation of these integrals. Acclimatization of Sophus Lie's work to SODEs has been done by (Gaeta and Quintero [2]; Wafo Soh …
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Intra-daily put call parity in the PHLX currency options market
This study examines the Put-Call Parity efficiency of the PHLX currency options market for the Deutsche Mark for the period between 30 September 1992 to 1 October 1993. Using a large database of currency option data, a sample of 7968 American and European put and call options are tested for the …
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Analytical Methods For Levy Processes With Applications To Finance
… and results associated with two “analytically tractable” families of processes known as the meromorphic and hyper-exponential families. We also demonstrate some important numerical techniques for working with these families and for solving numerical integration and rational approximation …
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