Rebalancing strategies for synthetic call options

This dissertation determines how well the Rubinstein-Leland (1981) 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 percentages, and stock--when the stock changes by specified percentages. Descriptive statistics are calculated for the rebalancing errors and transactions costs for each of the strategies. The rebalancing error is equal to the difference between the synthetic call and listed call values.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Business Administration

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Becker, Kent G.

• Business Administration, General
• Economics, Finance

Statement dc:rights

• Copyright 1989 Becker, Kent Gregory

Language dc:language

eng

Identifier

AAI8924767
(UMI)AAI8924767

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/21497