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Showing 1 to 5 of 5 for “"SPX options"”.
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transactions Cost
… the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P Depository Receipts (SPY) options, are studied. I …
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Market Implied Risk-Free Rates: An Analysis of the Put-Call Parity Implied Rate
… European-style option prices on the S&P 500 (SPX) index and the underlying spot price. Using a high-frequency dataset of SPX options across various maturities between January 1, 2009 and December 31, 2019, the time-series behavior of the implied rate with and without transaction costs is …
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Volatility and return forecasting : time series and options-based methods
… that exploit the historical information set and options-based approach that provides a natural forecast of return variation from listed option prices. Both univariate and multivariate estimation of the time series models are considered in our analysis. Chapter 1: This chapter introduces a …
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Using High-Frequency Options Data to Evaluate Economic Trading Models
… of economic models based on high-frequency options data. Options data allows for the investigation of heterogeneous effects across moneyness and maturities, and the use of high-frequency data makes it possible to compute various estimates at higher frequencies and analyze the data behaviour …