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Journal articles on the topic 'Options (Finance) Stocks'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

LAU, KA WO, and YUE KUEN KWOK. "VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH." International Journal of Theoretical and Applied Finance 08, no. 05 (2005): 659–74. http://dx.doi.org/10.1142/s0219024905003189.

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The reload provision in an employee stock option is an option enhancement that allows the employee to pay the strike upon exercising the stock option using his owned stocks and to receive new "reload" stock options. The usual Black–Scholes risk neutral valuation approach may not be appropriate to be adopted as the pricing vehicle for employee stock options, due to the non-transferability of the ownership of the options and the restriction on short selling of the firm's stocks as hedging strategy. In this paper, we present a general utility maximization framework to price non-tradeable employee

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2

Huang, Han Ching, and Pei-Shan Tung. "The effects of liquidity trading on insider trade timing when an underlying option is present." Managerial Finance 44, no. 10 (2018): 1250–70. http://dx.doi.org/10.1108/mf-02-2018-0084.

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Purpose The purpose of this paper is to examine whether the underlying option impacts an insider’s propensity to purchase and sell before corporate announcements, the proportion of insiders’ trading after announcements relative to before announcements, and the insider’s profitability around corporate announcements. Design/methodology/approach The authors test whether the timing information and option have impacted on the tendency of insider trade, the percentage of all shares traded by insiders in the post-announcement to pre-announcement periods and the average cumulative abnormal stock retur

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3

AMMANN, MANUEL, DAVID SKOVMAND, and MICHAEL VERHOFEN. "IMPLIED AND REALIZED VOLATILITY IN THE CROSS-SECTION OF EQUITY OPTIONS." International Journal of Theoretical and Applied Finance 12, no. 06 (2009): 745–65. http://dx.doi.org/10.1142/s0219024909005440.

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Using a complete sample of US equity options, we analyze patterns of implied volatility in the cross-section of equity options with respect to stock characteristics. We find that high-beta stocks, small stocks, stocks with a low-market-to-book ratio, and non-momentum stocks trade at higher implied volatilities after controlling for historical volatility. We find evidence that implied volatility overestimates realized volatility for low-beta stocks, small caps, low-market-to-book stocks, and stocks with no momentum and vice versa. However, we cannot reject the null hypothesis that implied volat

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4

Li, George. "Growth options, dividend payout ratios and stock returns." Studies in Economics and Finance 33, no. 4 (2016): 638–59. http://dx.doi.org/10.1108/sef-08-2015-0195.

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Purpose This paper aims to examine the impact of the dividend payout ratio on future stock returns and momentum strategies. Design/methodology/approach The author uses the portfolio sorting approach used in the momentum literature to examine this impact. Findings First, the author shows that the returns for the winner stocks tend to be the largest if no dividends are paid and then decrease with the dividend payout ratio; the returns for the loser stocks tend to have an inverted U-shaped relationship with the dividend payout ratio, but the zero-dividend loser stocks have the smallest return; an

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5

Wu, Yan Wendy. "Optimal executive compensation: Stock options or restricted stocks." International Review of Economics & Finance 20, no. 4 (2011): 633–44. http://dx.doi.org/10.1016/j.iref.2010.11.023.

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6

EKSTRÖM, ERIK, and JOHAN TYSK. "OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS." International Journal of Theoretical and Applied Finance 07, no. 07 (2004): 901–7. http://dx.doi.org/10.1142/s0219024904002694.

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There are two common methods for pricing European call options on a stock with known dividends. The market practice is to use the Black–Scholes formula with the stock price reduced by the present value of the dividends. An alternative approach is to increase the strike price with the dividends compounded to expiry at the risk-free rate. These methods correspond to different stock price models and thus in general give different option prices. In the present paper we generalize these methods to time- and level-dependent volatilities and to arbitrary contract functions. We show, for convex contra

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7

Bayraktar, E. "Pricing Options on Defaultable Stocks*." Applied Mathematical Finance 15, no. 3 (2008): 277–304. http://dx.doi.org/10.1080/13504860701798283.

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8

Hammarlid, Ola. "On Minimizing Risk in Incomplete Markets Option Pricing Models." International Journal of Theoretical and Applied Finance 01, no. 02 (1998): 227–33. http://dx.doi.org/10.1142/s0219024998000126.

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I study the Bouchaud–Sornette, Schweizer and Schäl way of pricing options, presenting the methodology in accordance with Bouchaud–Sornette. The definitions of the wealth balance and risk from trading in options and stocks are presented. The problem of finding a risk minimizing strategy in an incomplete market model where a perfect hedge is not possible is analyzed. Using this strategy according to the approach of Bouchaud and Sornette the option is priced by a fair game condition. In this article I establish the equivalence between global and local risk minimization and prove an option price c

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9

Trigeorgis, Lenos, and Neophytos Lambertides. "The Role of Growth Options in Explaining Stock Returns." Journal of Financial and Quantitative Analysis 49, no. 3 (2014): 749–71. http://dx.doi.org/10.1017/s0022109014000118.

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AbstractWe extend the Fama-French (1992) model by considering growth option (as well as distress/leverage) variables in explaining the cross section of stock returns. We find that growth option variables, namely growth in capital investment and yet-unexercised growth options (GO), are significantly and negatively related to stock returns. Investors may be willing to accept lower average returns from growth stocks in exchange for a more favorable (positively skewed) risk-return profile. Book-to-market (BM) ratio seems to proxy for omitted distress/leverage variables. When these are explicitly a

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10

Reilly, Frank K., and Sandra G. Gustavson. "INVESTING IN OPTIONS ON STOCKS ANNOUNCING SPLITS." Financial Review 20, no. 2 (1985): 121–42. http://dx.doi.org/10.1111/j.1540-6288.1985.tb00172.x.

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11

CHANG, CHIA-LIN, SHING-YANG HU, and SHIH-TI YU. "RECENT DEVELOPMENTS IN QUANTITATIVE FINANCE: AN OVERVIEW." Annals of Financial Economics 09, no. 02 (2014): 1402002. http://dx.doi.org/10.1142/s2010495214020023.

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Quantitative finance combines mathematical finance, financial statistics, financial econometrics and empirical finance to provide a solid quantitative foundation for the analysis of financial issues. The purpose of this special issue on "Recent developments in quantitative finance" is to highlight some areas of research in which novel methods in quantitative finance have contributed significantly to the analysis of financial issues, specifically fast methods for large-scale non-elliptical portfolio optimization, the impact of acquisitions on new technology stocks: the Google–Motorola case, the

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12

Amadori, Maria Chiara, Lamia Bekkour, and Thorsten Lehnert. "The relative informational efficiency of stocks, options and credit default swaps during the financial crisis." Journal of Risk Finance 15, no. 5 (2014): 510–32. http://dx.doi.org/10.1108/jrf-04-2014-0044.

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Purpose – This paper aims to investigate informational efficiency of stock, options and credit default swap (CDS) markets. Previous research suggests that informed traders prefer equity option and CDS markets over stock markets to exploit their informational advantage. As a result, equity and credit derivative markets contribute more to price discovery compared to stock markets. Design/methodology/approach – In this study, the authors investigate the dynamics behind informed investors’ trading decisions in European stock, options and CDS markets. This allows to identify the predictive explanat

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13

Le, Van. "The effect of short-sale restrictions: another perspective." International Journal of Managerial Finance 12, no. 5 (2016): 700–714. http://dx.doi.org/10.1108/ijmf-12-2014-0188.

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Purpose The purpose of this paper is to examine the effect of short-sale restrictions (SSR) with particular emphasis on their impact on the liquidity and informed trading in the stock and option markets. Design/methodology/approach Using a panel regression with controls for volatility, VIX and matched stocks, this study examines the effect of the short-sale ban (SSB) on stock and option liquidity, expressed in terms of spread and volume. In addition, the PIN and option information share (OIS) measures have been used to analyze its impact on informed trading in those related markets. Findings T

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14

Carver, Andrew B., and Matthew Ennis. "The real options content of oil producer stocks." Applied Financial Economics 21, no. 4 (2010): 217–31. http://dx.doi.org/10.1080/09603107.2010.528362.

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15

Danielsen, Bartley R., Bonnie F. van Ness, and Richard S. Warr. "Reassessing the Impact of Option Introductions on Market Quality: A Less Restrictive Test for Event-Date Effects." Journal of Financial and Quantitative Analysis 42, no. 4 (2007): 1041–62. http://dx.doi.org/10.1017/s0022109000003495.

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AbstractPrior research concludes that option introductions improve the average liquidity of the underlying stocks. We develop an improved, generalizable test to assess whether market quality changes occur on or near an event date. Applying this method to option listing events, we conclude that options do not systematically improve the market quality of the underlying security; rather, the market quality of the underlying security improves before the listing decision. Hazard model tests indicate that improving liquidity is a selection criterion in the option listing decision. Moreover, these te

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16

AN, BYEONG-JE, ANDREW ANG, TURAN G. BALI, and NUSRET CAKICI. "The Joint Cross Section of Stocks and Options." Journal of Finance 69, no. 5 (2014): 2279–337. http://dx.doi.org/10.1111/jofi.12181.

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17

Cai, Li, and Jian Du. "Excess returns to buying low options-volume stocks and selling high options-volume stocks: Information or characteristics?" Journal of Futures Markets 38, no. 12 (2018): 1487–513. http://dx.doi.org/10.1002/fut.21957.

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18

BASNARKOV, LASKO, VIKTOR STOJKOSKI, ZORAN UTKOVSKI, and LJUPCO KOCAREV. "OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS." International Journal of Theoretical and Applied Finance 22, no. 07 (2019): 1950041. http://dx.doi.org/10.1142/s0219024919500419.

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A growing body of literature suggests that heavy tailed distributions represent an adequate model for the observations of log returns of stocks. Motivated by these findings, here, we develop a discrete time framework for pricing of European options. Probability density functions of log returns for different periods are conveniently taken to be convolutions of the Student’s [Formula: see text]-distribution with three degrees of freedom. The supports of these distributions are truncated in order to obtain finite values for the options. Within this framework, options with different strikes and ma

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19

CARR, PETER, and ALIREZA JAVAHERI. "THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS." International Journal of Theoretical and Applied Finance 08, no. 02 (2005): 239–53. http://dx.doi.org/10.1142/s0219024905002974.

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We derive a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the forward local default arrival rate. We then specialize to the case where the only jump which can occur reduces the underlying stock price by a fixed fraction of its pre-jump value. This is a standard assumption when valuing an option written on a stock which can default. We discuss novel strategies for calibrati

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20

Cassimon, D., P. J. Engelen, L. Thomassen, and M. Van Wouwe. "Closed-form valuation of American call options on stocks paying multiple dividends." Finance Research Letters 4, no. 1 (2007): 33–48. http://dx.doi.org/10.1016/j.frl.2006.09.001.

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21

Wang, Yaw-Huei. "Volatility Information in the Trading Activity of Stocks, Options, and Volatility Options." Journal of Futures Markets 33, no. 8 (2013): 752–73. http://dx.doi.org/10.1002/fut.21601.

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22

LIU, SHINHUA. "Equity Options and Underlying Stocks' Behavior: Further Evidence from Japan*." International Review of Finance 10, no. 3 (2010): 293–312. http://dx.doi.org/10.1111/j.1468-2443.2010.01121.x.

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23

Mohamad, Azhar, and Muhammad Rizky Prima Sakti. "Implied volatility in the individual stocks call options market: evidence from Malaysia." Afro-Asian J. of Finance and Accounting 8, no. 4 (2018): 431. http://dx.doi.org/10.1504/aajfa.2018.095246.

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24

Mohamad, Azhar, and Muhammad Rizky Prima Sakti. "Implied volatility in the individual stocks call options market: evidence from Malaysia." Afro-Asian J. of Finance and Accounting 8, no. 4 (2018): 431. http://dx.doi.org/10.1504/aajfa.2018.10015521.

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25

Chung, Kee H., and Charlie Charoenwong. "Investment Options, Assets in Place, and the Risk of Stocks." Financial Management 20, no. 3 (1991): 21. http://dx.doi.org/10.2307/3665748.

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26

Zhang, Jun. "Dynamic Index Optimal Investment Strategy Based on Stochastic Differential Equations in Financial Market Options." Wireless Communications and Mobile Computing 2021 (March 19, 2021): 1–9. http://dx.doi.org/10.1155/2021/5545956.

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With the gradual development and improvement of the financial market, financial derivatives such as futures and options have also become the objects of competition in the financial market. Therefore, how to make the most favorable and optimized investment and consumption when options are included? It has become a problem facing investors. Aiming at the optimal investment problem of investors, this paper studies the calculation of an optimal investment strategy in stochastic differential equations in financial market options on the basis of fuzzy theory. Now, stochastic calculus has become an i

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27

Zhang, Chu. "A Reexamination of the Causes of Time-Varying Stock Return Volatilities." Journal of Financial and Quantitative Analysis 45, no. 3 (2010): 663–84. http://dx.doi.org/10.1017/s0022109010000232.

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AbstractThe decline of average stock return volatility in the 2001–2006 period provides an opportunity to test various theories on why the average return volatility increased in the pre-2000 period. This paper compares fundamentals-based theories with trading volume-based theories. While both fundamentals-based and trading volume-based theories explain the upward trend in the average volatility in U.S. stocks from 1976 to 2000 and international stocks from 1990 to 2000, only the fundamentals-based theories explain the volatility pattern for 2001–2006. Much of the variation in the stock return

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28

Ng, Andrew C. Y., Johnny Siu-Hang Li, and Wai-Sum Chan. "Pricing options on stocks denominated in different currencies: Theory and illustrations." North American Journal of Economics and Finance 26 (December 2013): 339–54. http://dx.doi.org/10.1016/j.najef.2013.02.009.

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29

Hanke, M., and K. Pötzelberger. "Dilution, anti-dilution and corporate positions in options on the company's own stocks." Quantitative Finance 3, no. 5 (2003): 405–15. http://dx.doi.org/10.1088/1469-7688/3/5/306.

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30

Schober, Peter, and Martin Wagener. "Arbitrage potential in the Eurex order book – evidence from the financial crisis in 2008." Risk Governance and Control: Financial Markets and Institutions 5, no. 4 (2015): 300–313. http://dx.doi.org/10.22495/rgcv5i4c2art4.

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In this paper we investigate the valuation efficiency of the Eurex market for DAX single stock options. As a measure of arbitrage potential we use an adapted version of Stoll’s put-call parity model. By calculating deviations from the theoretical fair put and call prices before and during the financial crisis in 2008, we find evidence for a decrease in market’s valuation efficiency. Valuation efficiency is even worse for German financial stocks for which short selling was restricted. Although considerable profit opportunities are found, only a small number turn out to be profitable after trans

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31

Bali, Turan G., Luca Del Viva, Neophytos Lambertides, and Lenos Trigeorgis. "Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility." Journal of Financial and Quantitative Analysis 55, no. 7 (2019): 2150–80. http://dx.doi.org/10.1017/s0022109019000619.

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We provide new evidence on the economic role of growth options behind the profitability, distress, lotteryness, and volatility anomalies. We use idiosyncratic skewness to measure growth options and estimate expected idiosyncratic skewness capturing investors’ expectations about the firm’s mix of growth options versus assets-in-place. We find that investors require a positive premium to hold stocks of inflexible firms with low growth options and negative expected skewness and that a newly proposed skewness factor based on growth options explains the aforementioned anomalies. Thus, the new measu

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32

Gerber, Hans U., and Hlias S. W. Shiu. "MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS." Mathematical Finance 6, no. 3 (1996): 303–22. http://dx.doi.org/10.1111/j.1467-9965.1996.tb00118.x.

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33

Alkebäck, Per, and Niclas Hagelin. "The impact of warrant introductions on the underlying stocks, with a comparison to stock options." Journal of Futures Markets 18, no. 3 (1998): 307–28. http://dx.doi.org/10.1002/(sici)1096-9934(199805)18:3<307::aid-fut5>3.0.co;2-6.

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34

Raymar, Steven B., and Michael J. Zwecher. "Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks." Journal of Derivatives 5, no. 1 (1997): 7–23. http://dx.doi.org/10.3905/jod.1997.407986.

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35

Kang, Jangkoo, and Hyoung-Jin Park. "The Dynamics of Trades and Quote Revisions Across Stock, Futures, and Option Markets." Review of Pacific Basin Financial Markets and Policies 11, no. 02 (2008): 227–54. http://dx.doi.org/10.1142/s0219091508001337.

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This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from derivative markets to their underlying asset markets than from the underlying asset markets to their derivative markets. Finally, domestic institutional investors prefer futures, domestic individual investors prefer options, and fo

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36

Biebuyck, Anton, and Johan H. Van Rooyen. "Valuing call options on single stock futures: Does the put-call parity relationship hold in the South African derivatives market?" Risk Governance and Control: Financial Markets and Institutions 4, no. 3 (2014): 30–43. http://dx.doi.org/10.22495/rgcv4i3art4.

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This study attempts to determine whether this mispricing of financial derivatives is present in the South African derivatives market. This will be achieved by evaluating options for futures on individual stocks using a put-call parity ratio. The resulting theoretical fair value is compared with the actual market value for the three-year period (2009–2011). The results show that arbitrage opportunities are presented for selected stocks. Further research may include more stocks over a longer period to determine if there can be any model that can form the basis of an arbitrage trading strategy.

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37

Mollick, Andre. "VIX and the variance of Dow Jones industrial average stocks." Managerial Finance 41, no. 3 (2015): 226–43. http://dx.doi.org/10.1108/mf-07-2013-0197.

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Purpose – The purpose of this paper is to examine what happens to the variance of individual stocks forming the Dow Jones Industrial Average (DJIA) allowing for aggregate uncertainty measured by VIX, the “fear gauge index” of US options contracts. In examining each individual stock belonging to DJIA in 2011, the authors reconsider aggregate market uncertainty (VIX) as the mixing variable. In contrast to studies on the effects of VIX on the aggregate equity market, the data set used in this paper allow a further look at the proposition that market aggregate uncertainty should have varying impac

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38

Chan, Kalok, Y. Peter Chung, and Herb Johnson. "The Intraday Behavior of Bid-Ask Spreads for NYSE Stocks and CBOE Options." Journal of Financial and Quantitative Analysis 30, no. 3 (1995): 329. http://dx.doi.org/10.2307/2331344.

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39

Kadan, Ohad, and Jeroen M. Swinkels. "Stocks or Options? Moral Hazard, Firm Viability, and the Design of Compensation Contracts." Review of Financial Studies 21, no. 1 (2007): 451–82. http://dx.doi.org/10.1093/rfs/hhm077.

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40

Mazouz, Khelifa, and Michael Bowe. "Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE." Applied Financial Economics 19, no. 3 (2009): 203–12. http://dx.doi.org/10.1080/09603100801964396.

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41

Guo, Shuxin, and Qiang Liu. "A Simple Accurate Binomial Tree for Pricing Options on Stocks with Known Dollar Dividends." Journal of Derivatives 26, no. 4 (2019): 54–70. http://dx.doi.org/10.3905/jod.2019.26.4.054.

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42

Blomeyer, Edward C. "An Analytic Approximation for the American Put Price for Options on Stocks with Dividends." Journal of Financial and Quantitative Analysis 21, no. 2 (1986): 229. http://dx.doi.org/10.2307/2330740.

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43

Singh, Shivam, and Vipul . "Performance of Black-Scholes model with TSRV estimates." Managerial Finance 41, no. 8 (2015): 857–70. http://dx.doi.org/10.1108/mf-06-2014-0177.

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Purpose – The purpose of this paper is to test the pricing performance of Black-Scholes (B-S) model, with the volatility of the underlying estimated with the two-scale realised volatility measure (TSRV) proposed by Zhang et al. (2005). Design/methodology/approach – The ex post TSRV is used as the volatility estimator to ensure efficient volatility estimation, without forecasting error. The B-S option prices, thus obtained, are compared with the market prices using four performance measures, for the options on NIFTY index, and three of its constituent stocks. The tick-by-tick data are used in t

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Cosma, Antonio, Stefano Galluccio, Paola Pederzoli, and Olivier Scaillet. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps." Journal of Financial and Quantitative Analysis 55, no. 1 (2018): 331–56. http://dx.doi.org/10.1017/s0022109018001229.

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Using a fast numerical technique, we investigate a large database of investors’ suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modeling of the discrete dividend is essential for a correct calculation of the early exercise boundary, as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black–Scholes–Merton benchmark cuts the amount lost by investors through suboptimal exercise by one-quarter. The remaining three-quarters are largely unexplained by transaction fees and may b

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45

Meissner, Gunter, and Noriko Kawano. "Capturing the volatility smile of options on high-tech stocks—A combined GARCH-neural network approach." Journal of Economics and Finance 25, no. 3 (2001): 276–92. http://dx.doi.org/10.1007/bf02745889.

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46

Liu, Shinhua. "The impacts of index options on the underlying stocks: The case of the S&P 100." Quarterly Review of Economics and Finance 49, no. 3 (2009): 1034–46. http://dx.doi.org/10.1016/j.qref.2007.10.001.

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47

Taylor, Stephen J., Pradeep K. Yadav, and Yuanyuan Zhang. "The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks." Journal of Banking & Finance 34, no. 4 (2010): 871–81. http://dx.doi.org/10.1016/j.jbankfin.2009.09.015.

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48

Khan, Mostafa Saidur Rahim, Naheed Rabbani, and Yoshihiko Kadoya. "Is Financial Literacy Associated with Investment in Financial Markets in the United States?" Sustainability 12, no. 18 (2020): 7370. http://dx.doi.org/10.3390/su12187370.

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Lack of investment in financial markets is one of the enduring puzzles in empirical finance. Although recent studies ascribe the lack of investment in stocks to financial literacy, the association between financial literacy and investment in financial markets remains inconclusive. We examine whether financial literacy is associated with investment in financial markets in the United States. We use investment in stocks, futures/options, investment trusts, corporate bonds, foreign currency deposits, and government bonds of foreign currency as a proxy for investment in financial markets. Using dat

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Goncalves-Pinto, Luis, Bruce D. Grundy, Allaudeen Hameed, Thijs van der Heijden, and Yichao Zhu. "Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market." Management Science 66, no. 9 (2020): 3903–26. http://dx.doi.org/10.1287/mnsc.2019.3398.

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Stock and options markets can disagree about a stock’s value because of informed trading in options and/or price pressure in the stock. The predictability of stock returns based on this cross-market discrepancy in values is especially strong when accompanied by stock price pressure, and it does not depend on trading in options. We argue that option-implied prices provide an anchor for fundamental stock values that helps to distinguish stock price movements resulting from pressure versus news. Overall, our results are consistent with stock price pressure being the primary driver of the option p

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50

Chevallier, Julien, and Dinh-Tri Vo. "Portfolio allocation across variance risk premia." Journal of Risk Finance 20, no. 5 (2019): 556–93. http://dx.doi.org/10.1108/jrf-06-2019-0107.

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Purpose In asset management, what if clients want to purchase protection from risk factors, under the form of variance risk premia. This paper aims to address this topic by developing a portfolio optimization framework based on the criterion of the minimum variance risk premium (VRP) for any investor selecting stocks with an expected target return while minimizing the risk aversion associated to the portfolio according to “good” and “bad” times. Design/methodology/approach To accomplish this portfolio selection problem, the authors compute variance risk-premium as the difference from high-freq

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