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.
Results
Showing 1 to 20 of 20 for “"moneyness"”.
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A thesis on algorithmic trading
… objective formulated upon the state variables of moneyness and volume participation (MVP). The MV-MVP style generalizes the VWAP strategy by facilitating dynamic reactions to moneyness and by embodying the popular street practice of trading aggressively or passively while in the money. Simulated …
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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
… price change volatility and investigate possible moneyness and maturity effects. I compare these characteristics to those of the usual implied volatility measure and the historical volatility of the S&P 500 index. Then, I investigate the performance of the implied price change volatility in a …
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Estimating Long Term Equity Implied Volatility
… surface across a range of expiries and moneyness levels. A detailed evaluation is performed for different estimation techniques to assess the strengths and weaknesses of each of the models. The estimation techniques considered include statistical and time-series techniques, …
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Examining the introduction and expiration price effect of warrants on their underlying assets: evidence from the Johannesburg Stock Exchange
… on the type of warrant as well as the warrant's "moneyness". The in the money sample of puts and calls show significant price effects around the listing and expiration days respectively. The out the money sample of puts and calls indicate no price effect. Each of the samples is subjected to …
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Essays on Portfolio Optimization, Simulation and Option Pricing
… price options with different characters such as moneyness and maturity times. The incomplete market environments are also been considered. The second paper uses realized volatility based on high frequency data to improve the volatility trading strategy. The performance is compared with that using …
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Using High-Frequency Options Data to Evaluate Economic Trading Models
… 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 around jumps.</p><p>The first chapter analyzes the implications of a disagreement model …
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An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures
… pricing errors show a decreasing trend as moneyness increases. The Extended-Vasicek model and the HJM model have significantly lower errors for deep-in the-money and out-of-the-money options. Higher mean absolute errors are observed for at-the-money options for both term structure models. …
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Option hedging error in commodity markets
… known as hedge error. This thesis examines how moneyness and tenor affect hedge error in order to help a trader manage the hedge error. Secondly, this thesis investigates which subset of the greeks provides an optimal and economically significant reduction in volatility. Corn, lean hogs, and …
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Deep Hedging of basis risk
… incomplete market settings, across a variety of moneyness levels.
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Essays on the microstructure of US equity options
… related to price clustering. Moreover, the moneyness and maturity can also influence price and size clustering because this essay finds out-of-the money contracts and near-to-maturity contracts show less price and size clustering.
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Volatility Model Pricing and Calibration with Neural Networks using Bayesian Optimisation
… options as a function of time to maturity and moneyness. Implied volatilities for these models are accurately estimated using a numerical integration approach, Monte Carlo approach, series expansion approximation or using a two factor finite difference approach. However, these volatility …
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Essays on Volatility Risk and Security Returns
… option samples with different maturities and moneyness, and it is robust to alternative measures of underlying volatility and different weighting methods. Time-series evidence also supports the predictions from option pricing theory: Future returns on S&P 500 index call (put) options are …
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Are Agricultural Options Too Expensive
… 90-day holding periods and are classified into moneyness categories. Since option returns are function of the underlying futures price, theoretical benchmark returns accounting for the path of the underlying futures are also estimated. Theoretical benchmarks take out effects of the movements in …
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Essays in Information Finance
… robust to using continuous absolute delta, to moneyness subsamples, and to partitioning across FOMC announcement, earnings announcement, and non-event days. The second essay, "Growing Up in the Modern World: The Falling Cost of Computing and the Growth of Large versus Small Firms," asks how the …
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
… log-strike grids with equal intervals with each moneyness and maturity of actual market option prices.</p>
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Historically implied swaption skews using non-parametric methods
… a volatility smile, albeit diminishing, across moneyness for maturities up to 20 years. The skews are further tested for sensitivity to the input historical data as well as the precision of the skew under implementation of the relative entropy approach. Results show the derived swaption skews to …
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Efficiency and Accuracy of Alternative Implementations of No-Arbitrage Term Structure Models of the Heath-Jarrow-Morton Class
… as a function of option type, maturity, and moneyness. We also examine alternative numerical implementations of HJM models using the six volatility specifications. In particular, we analyze the impact on accuracy and computation time of using different numbers of time-steps. We also examine …
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Rough volatility models
… skew approximation formulae from CLT type log-moneyness deviations of order t^1/2 to the wider MD regime. In chapter 3, we present a novel Monte Carlo (MC) pricing scheme for rough volatility models based on a Karhunen-Loève-style approximation of White Noise. This complements theoretical …
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Essays on Nonparametric Estimation of Asset Pricing Models
… by diffusive state variables. Trading times and moneyness levels are modelled by marked point processes to capture intraday trading patterns. A simulation study investigates the performance of the estimator using an iterated plug-in bandwidth in various scenarios. Empirical results using S&P 500 …
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Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options
… stocks, option depth, time to expiration, moneyness, the number of quote revisions, volatility of underlying stocks, and market volatility. In addition, this study is the first to incorporate the underlying stock price as a determinant of the option spread. We propose that the underlying …