Log in

Relevant bibliographies by topics / Options (Finance) Stocks / Dissertations / Theses

To see the other types of publications on this topic, follow the link: Options (Finance) Stocks.

Dissertations / Theses on the topic 'Options (Finance) Stocks'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 dissertations / theses for your research on the topic 'Options (Finance) Stocks.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.

1

Chu, Kut-leung. "The CEV model : estimation and option pricing /." Click to view the E-thesis via HKUTO, 1999. http://sunzi.lib.hku.hk/hkuto/record/B4257500X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Beyer, Scott B. "Recovering jump risk and diffusion parameters implied by market prices of short-dated options /." free to MU campus, to others for purchase, 2003. http://wwwlib.umi.com/cr/mo/fullcit?p3099610.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Yiu, Fan-lai. "Applicability of various option pricing models in Hong Kong warrants market /." [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570493.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Ko, Chi-keung Anthony. "A preliminary study of Hong Kong warrants using the Black-Scholesoption pricing model /." [Hong Kong] : University of Hong Kong, 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12316726.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Lam, Yue-kwong. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18003515.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Lu, Xiaolong, and 盧曉瓏. "Analysts, options trading and equity short selling." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206666.

Full text

Abstract:

This dissertation consists of two empirical essays on the interactions among three financial markets, namely, the stock market, the options market, and the equity lending market. In the first essay, we study the role of analysts and options traders in the information transmission between options and stock markets. We first show that the predictive power of option-implied volatilities (IVs) on stock returns is more than doubled around analyst-related events, indicating a significant proportion of the options predictability on stock returns comes from informed options traders’ information about

APA, Harvard, Vancouver, ISO, and other styles

7

Lee, Hongbok. "Issuance and calls of preferred stock /." free to MU campus, to others for purchase, 2002. http://wwwlib.umi.com/cr/mo/fullcit?p3074420.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Ragle, William F. "Three Essays on the Effects of Equity Option Introduction." Thesis, University of North Texas, 1996. https://digital.library.unt.edu/ark:/67531/metadc277764/.

Full text

Abstract:

This dissertation is structured as three essays on various aspects of equity option introduction. Topics addressed include the relative predictability of introduction, the relationship between predictability of introduction and the price effect associated with introduction, and a comparison of the price response of optioned versus nonoptioned stocks to changes in dividends. Essay 1 involves use of firm-specific variables in a LOGIT model to allow assignment of a probability of equity option introduction. Two samples were developed: one of firms that were optioned, the other of firms which met

APA, Harvard, Vancouver, ISO, and other styles

9

Chu, Kut-leung, and 朱吉樑. "The CEV model: estimation and optionpricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B4257500X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Lam, Yue-kwong, and 林宇光. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31267282.

Full text

APA, Harvard, Vancouver, ISO, and other styles

11

Shi, Qi. "A study of the implied volatility function evidence from Hang Seng Index options market in Hong Kong /." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B31601984.

Full text

APA, Harvard, Vancouver, ISO, and other styles

12

Alpert, Karen. "The effects of taxation on put-call parity and option exercise behavior /." [St. Lucia, Qld.], 2004. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18166.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

13

Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

Wang, Yintian 1976. "Three essays on volatility long memory and European option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102851.

Full text

Abstract:

This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models.<br>The first essay presents a new model for the valuation of European options. In this model, the volatility of returns consists of two components. One of these components is a long-run component that can be modeled as fully persistent. The other component is short-run and has zero mean. The model can be viewed as an affine version of Engle and Lee (1999), allowing for easy

APA, Harvard, Vancouver, ISO, and other styles

15

Alimov, Azizjon. "Innovations, real options, risk and return : evidence from the pharmaceutical and biotechnology industries /." view abstract or download file of text, 2007. http://proquest.umi.com/pqdweb?did=1421619401&sid=1&Fmt=2&clientId=11238&RQT=309&VName=PQD.

Full text

Abstract:

Thesis (Ph. D.)--University of Oregon, 2007.<br>Typescript. Includes vita and abstract. Includes bibliographical references (leaves 109-114). Also available for download via the World Wide Web; free to University of Oregon users.

APA, Harvard, Vancouver, ISO, and other styles

16

Venemalm, Johan. "State Equidistant and Time Non-Equidistant Valuation of American Call Options on Stocks With Known Dividends." Thesis, Uppsala universitet, Institutionen för informationsteknologi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226518.

Full text

Abstract:

In computational finance, finite differences are a widely used tool in the valuation of standard derivative contracts. In a lower-dimensional setting, high accuracy and speed often characterize such methods, which gives them a competitive advantage against Monte Carlo methods. For option contracts with discontinuous payoff functions, however, finite differences encounter problems to maintain the order of convergence of the employed finite difference scheme. Therefore the timesteps are often computed in a conservative manner, which might increase the total execution time of the solver more than

APA, Harvard, Vancouver, ISO, and other styles

17

高志強 and Chi-keung Anthony Ko. "A preliminary study of Hong Kong warrants using the Black-Scholesoption pricing model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263227.

Full text

APA, Harvard, Vancouver, ISO, and other styles

18

Lee, Chi-ming Simon. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula /." [Hong Kong] : University of Hong Kong, 1992. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13302838.

Full text

APA, Harvard, Vancouver, ISO, and other styles

19

Shi, Qi, and 施琦. "A study of the implied volatility function: evidence from Hang Seng Index options market in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31601984.

Full text

APA, Harvard, Vancouver, ISO, and other styles

20

Weyerhaeuser, James W. "A Study in Market Micromanagement: The Asymmetrical Effects of the 2008 Short Sale Ban on Stocks With and Without Traded Options." Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/487.

Full text

Abstract:

This study provides an empirical analysis of the 2008 short sale ban. The evidence suggests that the presence of tradable options plays a crucial role in determining the effect of a short sale ban. Results show that if there are no traded options on a stock, the short sale ban brought abnormal returns of roughly +8%. However if there are traded options on a stock, the market maker exemptions nullify the positive effects of the ban. Furthermore, for the banned stocks that do experience positive abnormal returns during the ban, the lifting of the ban causes a prompt reversal of these returns. Fi

APA, Harvard, Vancouver, ISO, and other styles

21

Dornaus, Rafael Pellegrino da Silva. "Majoritários vs. minoritários: uma análise dos benefícios de controle e o diferencial de preços entre classes de ações no Brasil por meio de uma abordagem por opções reais." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11503.

Full text

Abstract:

Submitted by Rafael Dornaus (rdornaus@gmail.com) on 2014-02-27T12:12:05Z No. of bitstreams: 1 Dissertacao_Rafael_Dornaus_final.pdf: 328250 bytes, checksum: 10e077bd9676695e06f4328ff3a2327f (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-02-27T12:16:20Z (GMT) No. of bitstreams: 1 Dissertacao_Rafael_Dornaus_final.pdf: 328250 bytes, checksum: 10e077bd9676695e06f4328ff3a2327f (MD5)<br>Made available in DSpace on 2014-02-27T12:32:37Z (GMT). No. of bitstreams: 1 Dissertacao_Rafael_Dornaus_final.pdf: 328250 bytes, checksum: 10e077bd9676695e0

APA, Harvard, Vancouver, ISO, and other styles

22

Chen, Kwok-wang. "Evaluation of market efficiency of stock options in Hong Kong /." Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18837372.

Full text

APA, Harvard, Vancouver, ISO, and other styles

23

Lee, Chi-ming Simon, and 李志明. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1992. http://hub.hku.hk/bib/B3126542X.

Full text

APA, Harvard, Vancouver, ISO, and other styles

24

El, Aoud Sofiene. "Dynamique jointe stock/option et application aux stratégies de trading sur options." Thesis, Châtenay-Malabry, Ecole centrale de Paris, 2015. http://www.theses.fr/2015ECAP0020/document.

Full text

Abstract:

Cette thèse explore théoriquement et empiriquement les implications de la dynamique jointe action/option sur divers problématiques liées au trading d’options. Dans un premier temps, nous commençons par l’étude de la dynamique jointe entre une option sur un stock et une option sur l’indice de marché. Le modèle CAPM fournit un cadre mathématique adéquat pour cette étude car il permet de modéliser la dynamique jointe d’un stock et son indice de marché. En passant aux prix d’options, nous montrons que le beta et la volatilité idiosyncratique, paramètres du modèle, permettent de caractériser la rel

APA, Harvard, Vancouver, ISO, and other styles

25

Lee, Dong Wook. "Two essays in corporate finance." Connect to this title online, 2003. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1060687110.

Full text

Abstract:

Thesis (Ph. D.)--Ohio State University, 2003.<br>Title from first page of PDF file. Document formatted into pages; contains x, 104 p.; also includes graphics (some col.). Includes bibliographical references. Available online via OhioLINK's ETD Center.

APA, Harvard, Vancouver, ISO, and other styles

26

Sun, Jia. "Models of executive stock options." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/49189/.

Full text

Abstract:

This thesis presents novel utility indifference models to solve versions of problems faced by the executives compensated with periodical option grants in practice. Chapter 2 provides a comprehensive analysis of a single executive stock option (ESO). A closed-form solution to the exercise threshold instantaneously before maturity is obtained, and the leading driver of the slope of the exercise thresholds close to and far from maturity is identified. This Chapter forms the foundation for further investigation of more complex problems in later Chapters. Chapter 3 investigates the optimal exercise

APA, Harvard, Vancouver, ISO, and other styles

27

Zhang, Ling. "Two essays in corporate finance." online access from Digital Dissertation Consortium, 2006. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?3240978.

Full text

APA, Harvard, Vancouver, ISO, and other styles

28

Vasquez, Aurelio. "Asset pricing in the stock and options markets." Thesis, McGill University, 2011. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=97025.

Full text

Abstract:

This thesis comprises three essays on asset pricing on the stock and options markets. The first essay finds a positive relation between the slope of the volatility term structure and subsequent option returns. The second essay finds a negative relation between realized skewness, extracted from high-frequency data, and stock returns. The third essay finds a negative relation between price jumps of intraday data and future stock returns.<br>Cette thèse se compose de trois essais qui analysent l'évaluation d'actifs dans le marché boursier et le marché d'options. Le premier essai trouve une relati

APA, Harvard, Vancouver, ISO, and other styles

29

Mönch, Burkart. "Strategic trading in illiquid markets /." Berlin [u.a.] : Springer, 2005. http://www.loc.gov/catdir/enhancements/fy0663/2005922554-d.html.

Full text

APA, Harvard, Vancouver, ISO, and other styles

30

Bouvard, Matthieu. "3 essais en finance d'entreprise." Toulouse 1, 2009. http://www.theses.fr/2009TOU10032.

Full text

Abstract:

Cette thèse est composée de trois essais. Un premier essai s intéresse au lien entre frictions sur les marchés de capitaux et acquisition d information par des entrepreneurs. Je montre qu un problème d anti-sélection entre entrepreneurs et investisseurs peut modifier les incitations des premiers à investir dans l acquisition de compétences ou d expérience. Il existe deux régimes inefficients. Lorsque les investisseurs sont a priori pessimistes, l accès au financement est restreint aux entrepreneurs expérimentés, il y a peu de projets financés et ils sont en moyenne très profitables. Lorsque le

APA, Harvard, Vancouver, ISO, and other styles

31

Zhang, Lingyan 1970. "Automated data acquisition and analysis of stock options." Thesis, McGill University, 2001. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=33048.

Full text

Abstract:

This thesis describes a system that retrieves exchange-traded option quotes on stocks, which are specified by the user, from the website www.moneynet.com. The data obtained from the Web is analyzed to determine the "breakeven" stock prices. A breakeven stock price is the expiration-date stock price for call or put options, in order for the call or put holders as a group to break even. This information is very useful as it helps us to understand the stock markets and the opinions of stock traders. It is useful for expectation analysis as well. The system is written in Excel 2000 and the data ob

APA, Harvard, Vancouver, ISO, and other styles

32

Li, Gang. "Two essays on empirical options studies /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?FINA%202007%20LI.

Full text

APA, Harvard, Vancouver, ISO, and other styles

33

Chen, Kwok-wang, and 陳國宏. "Evaluation of market efficiency of stock options in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B31267889.

Full text

APA, Harvard, Vancouver, ISO, and other styles

34

Mwangi, George. "Relationship between Firm Performance and CEO's Stock Options in U.S. Pharmaceutical Companies." Thesis, Walden University, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10245104.

Full text

Abstract:

<p> The CEO’s compensation policy is one of the most important factors in an organization’s success. CEO’s stock options are awarded to align the interests of the CEO with the interests of the firms’ stakeholders. However, lack of understanding of the relationship between firm performance and a CEO’s stock options could threaten the alignment of a CEO’s interests with those of the stakeholders. Grounded in agency theory, the purpose of this correlation study was to examine the relationship between return on equity, return on investment, total annual revenues

APA, Harvard, Vancouver, ISO, and other styles

35

Zhang, William. "The Destabilizing Effects of ETFs and Options on Underlying Stock Returns." Thesis, Harvard University, 2015. http://nrs.harvard.edu/urn-3:HUL.InstRepos:17417583.

Full text

Abstract:

This paper explores the role that ETFs and options have on the underlying stock return. Using a dataset of 400 stocks over a five year period, I examine the effect that ETF rebalancing and option hedging have on stock returns. I find evidence that rebalancing demands for ETFs increase the volatility of the end-of-day returns of the constituent stocks. In addition, I conclude that options have a meaningful positive impact on the underlying stock's daily momentum. These results suggest that stock returns are destabilized by these two financial instruments.<br>Applied Mathematics

APA, Harvard, Vancouver, ISO, and other styles

36

Tsebro, Pavlo. "Essays on Employee Stock Options and Executive Compensation in (Non-)Diversified Companies." Kent State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=kent1373979099.

Full text

APA, Harvard, Vancouver, ISO, and other styles

37

Patel, Kavir. "Employee Stock Option Valuation with Earnings-Based Vesting Condition." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29471.

Full text

Abstract:

The valuation of employee stock options has become a key requirement due to the rapid growth in the use of these options as a means of employee compensation. IFRS 2 Share-based Payment stipulates that these instruments must be valued and expensed on the date the awards are issued. This dissertation aims to value an employee stock option, in a case where both the equity and vesting (performance) condition are based on a reported earnings process. The equity dependency on earnings stems from the fact that we are primarily concerned with the valuation of employee stock options that are issued by

APA, Harvard, Vancouver, ISO, and other styles

38

Cheung, Yuk-lung Alan. "The Hang Seng Index options market in Hong Kong /." [Hong Kong] : University of Hong Kong, 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787093.

Full text

APA, Harvard, Vancouver, ISO, and other styles

39

Lai, Eugene Chang Fu. "An investigation into optimal stock option compensation : a thesis presented in fulfillment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University." Massey University, 2010. http://hdl.handle.net/10179/1344.

Full text

Abstract:

Throughout twentieth century, it has become increasingly common for executives to be remunerated with stock options, contracts which allow the recipient to buy company stock at a predetermined price, thus giving the incentive to maximize the stock price in order to increase the value of the stock option contract. Not only has stock option compensation become increasingly prevalent to executives at most major listed companies, but also to employees at all levels of the firm, both big and small. However, along with the growth in popularity, stock option compensation also became a topic of conten

APA, Harvard, Vancouver, ISO, and other styles

40

Wang, Tong Tong. "Analyzing and simulating stock option trading strategies." Thesis, University of Macau, 2000. http://umaclib3.umac.mo/record=b1636264.

Full text

APA, Harvard, Vancouver, ISO, and other styles

41

Chan, Chun Keung. "A study of the relationship between volatility premium and option returns over different time horizons: an ex-post and ex-ante empirical analysis using bid-ask data." HKBU Institutional Repository, 2016. https://repository.hkbu.edu.hk/etd_oa/307.

Full text

Abstract:

There are three distinct avenues of empirical research relating to option returns. (1) attempts to explain option returns; (2) analysis of models forecasting option implied volatility (IV) versus alternative forecasts of futures realized volatility (RV); and (3) estimation of the economic benefit of volatility forecasting. This study shows that the three apparently disparate fields of research are closely related since option returns are positively related to volatility spread, and asset returns are negatively related to volatility shock. We show that IV outperforms, and indeed subsumes, a sub

APA, Harvard, Vancouver, ISO, and other styles

42

Li, Na. "The informational content of indirect real estate options evidence from Hong Kong /." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B38316675.

Full text

APA, Harvard, Vancouver, ISO, and other styles

43

Binkowski, Karol Patryk. "Pricing of European options using empirical characteristic functions." Phd thesis, Australia : Macquarie University, 2008. http://hdl.handle.net/1959.14/28623.

Full text

Abstract:

Thesis (PhD)--Macquarie University, Division of Economic and Financial Studies, Dept. of Statistics, 2008.<br>Bibliography: p. 73-77.<br>Introduction -- Lévy processes used in option pricing -- Option pricing for Lévy processes -- Option pricing based on empirical characteristic functions -- Performance of the five models on historical data -- Conclusions -- References -- Appendix A. Proofs -- Appendix B. Supplements -- Appendix C. Matlab programs.<br>Pricing problems of financial derivatives are among the most important ones in Quantitative Finance. Since 1973 when a Nobel prize winning mod

APA, Harvard, Vancouver, ISO, and other styles

44

Cheng, Xin. "Three essays on volatility forecasting." HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1183.

Full text

APA, Harvard, Vancouver, ISO, and other styles

45

Chan, Ka Ming Camay. "The profitability of index futures spread arbitrage strategies with bid and ask index quotes." HKBU Institutional Repository, 2001. http://repository.hkbu.edu.hk/etd_ra/337.

Full text

APA, Harvard, Vancouver, ISO, and other styles

46

Yang, Twan-Shan. "Rescission and repricing of executive stock options: Repricing alternatives, optimal repricing policy, and early exercise." Diss., The University of Arizona, 2002. http://hdl.handle.net/10150/280074.

Full text

Abstract:

This dissertation consists of two chapters. Chapter 1 examines the ex-ante optimality of repricing and rescission of executive stock options while considering dilution effects and the tax effects of new accounting rules associated with repricing and rescission. Traditional repricing lowers the exercise price of outstanding options to match the declined market value of the stock. Rescission allows employees to cancel already-exercised options when share prices fall, which was not an issue until 2000 when the stock market plummeted. To my best knowledge, this study is the first research on exami

APA, Harvard, Vancouver, ISO, and other styles

47

Antenucci, Robert P. "Impact of Corporate Governance, Excess CEO Compensation, and CEO Stock Option Grants on Firm Performance during Recessionary Periods." Kent State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=kent1386339174.

Full text

APA, Harvard, Vancouver, ISO, and other styles

48

Al-Own, Bassam. "CEO stock-option compensation and the use of credit default swaps in relation to European bank risk." Thesis, Edinburgh Napier University, 2015. http://researchrepository.napier.ac.uk/Output/8800.

Full text

Abstract:

This thesis investigates two main aspects related to the use of credit default swaps (CDS) by European banks. The first area of investigation focuses on the relationship between the CEOs' risk-taking incentives generated by stock option compensation and the usage of CDS by banks. This thesis contributes to the existing literature in risk management with derivatives, which initially assumes that the use of derivatives is intended to reduce firm risk, by distinguishing between CDS use for hedging purposes and CDS use for trading purposes. The relationship between CEOs' risk-taking incentives and

APA, Harvard, Vancouver, ISO, and other styles

49

Cheung, Yuk-lung Alan, and 張玉龍. "The Hang Seng Index options market in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31265996.

Full text

APA, Harvard, Vancouver, ISO, and other styles

50

Choi, Fun Sang Daniel. "The efficiency of the London Traded Options Market : the implications of volatility, volume, and bid-ask spreads." Thesis, University of Stirling, 1993. http://hdl.handle.net/1893/23411.

Full text

Abstract:

This study is a test of the efficiency of the London Traded Options Market. Because it uses the Black-Scholes Option Pricing Model, it is also a test of option pricing. In the process of examining call option price behaviour it investigates the effects of three empirical factors. First, it investigates the effect of a non-constant share price volatility. Hitherto, there has been no agreed procedure on modelling or forecasting the future share price volatility. This study shows that the GARCH process has the best forecasting accuracy. The ex ante GARCH volatility estimate is then incorporated i

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!