Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"Option Trading"”.
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Essays in Market Microstructure
… there is an informational linkage between option trading activities and underlying stock depths. I find that option trading activities and underlying stock depths are informative for predicting each other, indicating that a linkage does exist. I further find that underlying stock depths …
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Development and analysis of derivative trading systems using artificial intelligence
… regression neural network to develop hybrid option trading systems that incorporate both volatility and return forecasting. This study focuses on the S&P 500 stock index as a representative for the market. The three different trading methods are discussed: stock return forecasting using a …
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Essays on the relations between derivatives and underlying asset or commodity markets
… essays. The first essay analyzes the impact of option trading on stock price efficiency around the expirations of IPO lockup agreements. It is well documented that IPO stock prices decline around lockup expirations, without reversals. Investors can exploit these price declines either by short …
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Understanding the effects of uncertainty on the macroeconomy and financial markets
… in financial markets through examining trading activity around the U.S. macro news releases. It documents a sustained increase in stock and option trading activity coupled with a rise in risk and dramatic drop in uncertainty after the release of Federal Open Market Committee (FOMC) …
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Essays on economic value of intraday covariation estimators for risk prediction
… for portfolio optimization, volatility trading and risk management. More recently, volatility of asset returns was once again under spotlight during the 2008-2009 nancial crisis. One of the most visible indicators of the crisis that captured the attention of the nancial in- dustry was …
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Essays on the economic value of intraday covariation estimators for risk prediction
… for portfolio optimization, volatility trading and risk management. More recently, volatility of asset returns was once again under spotlight during the 2008-2009 financial crisis. The study contributes to the extant volatility forecasting literature in three areas. First, it addresses …
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Fractional stochastic volatility models: approximation, calibration and hedging
… by establishing the differentiability of the option price with respect to the underlying asset price. We also compute the so-called hedging bias, i.e. the difference between the Black-Scholes Delta and the LMSV Delta, and we determine when a European-type option is over-hedged or under-hedged. …
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Analytical Solutions of the SABR Stochastic Volatility Model
… problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's interconnected …