Graphical analysis of hard-to-borrow stocks

We study the graphical analysis for hard to borrow stocks i.e., stock with some constraints such as short selling. The main purpose of this graphical analysis was to introduce some algorithm for calculating the implied dividend yield curve for hard to borrow stocks using the dynamical programming. Implied dividend curve can be used to analyze the options which are hard to borrow. We used the python as our tool for dealing with the financial data taken from the yahoo finance, since it helps in minimizing the memory usage for the data storage. Our main interest was to work with hard to borrowness for at the money options, but due to unavailability for these events we worked with in the money options since they are more crucial for the puts options. Put options have an early exercise for the American options, so considering the put options for in the money options are more interesting to analyze.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Mathematics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2013

Author dc:creator

• Nawaz, Tayyab

Contributors dc:contributor

• Sowers, Richard B.

• hard to borrow stocks
• implied dividend yield curve
• dynamic programming
• American options

Statement dc:rights

• Copyright 2013 Tayyab Nawaz

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/44814

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/44814