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Relevant bibliographies by topics / STOCK CALL OPTIONS

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Journal articles

Academic literature on the topic 'STOCK CALL OPTIONS'

Author: Grafiati

Published: 11 September 2023

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Journal articles on the topic "STOCK CALL OPTIONS"

1

Antwi Baafi, Joseph. "The Nexus Between Black-Scholes-Merton Option Pricing and Risk: A Case of Ghana Stock Exchange." Archives of Business Research 10, no. 5 (2022): 140–52. http://dx.doi.org/10.14738/abr.105.12350.

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Even though option pricing and its market activities are not new, in Ghana the idea of trading options is yet to be realized. One popular method in pricing options is known as Black-Scholes-Merton option pricing model. Even though option pricing activities are not currently happening on the Ghana Stock Exchange, authors looked at the possibilities and preparedness of the GES to start trading such financial instrument. The main objective of this study therefore was to know how Black-Scholes-Merton model could be used to help in appropriate option value and undertake a risk assessment of stocks

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2

Blau, Benjamin M., T. Boone Bowles, and Ryan J. Whitby. "Gambling Preferences, Options Markets, and Volatility." Journal of Financial and Quantitative Analysis 51, no. 2 (2016): 515–40. http://dx.doi.org/10.1017/s002210901600020x.

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AbstractThis study examines whether the gambling behavior of investors affects volume and volatility in financial markets. Focusing on the options market, we find that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble lotteries. Consistent with the theoretical predictions of Stein (1987), we demonstrate that gambling-motivated trading in the options market influences future spot price volatility. These results not only identify a link between lottery preferences in the stock market and the options market, but they als

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3

Cremers, Martijn, and David Weinbaum. "Deviations from Put-Call Parity and Stock Return Predictability." Journal of Financial and Quantitative Analysis 45, no. 2 (2010): 335–67. http://dx.doi.org/10.1017/s002210901000013x.

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AbstractDeviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 50 basis points per week. We find both positive abnormal performance in stocks with relatively expensive calls and negative abnormal performance in stocks with relatively expensive puts, which cannot be explained by short sale constraints. Rebate rates from the stock lending market directly confir

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4

Hoyyi, Abdul, Abdurakhman Abdurakhman, and Dedi Rosadi. "VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION." MEDIA STATISTIKA 14, no. 2 (2021): 183–93. http://dx.doi.org/10.14710/medstat.14.2.183-193.

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The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement. The model uses geometric Brownian motion which assumes that the data is normally distributed. However, in reality, stock price movements can cause sharp spikes in data, resulting in nonnormal data distribution. So we need a stock price model that is not normally distributed. One of the fastest growing stock price models today is the process exponential model. The process has the ability to model data that has excess kurtosis and a longer tai

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5

Stolorz, Beata. "Probability of Exercise of Option." Folia Oeconomica Stetinensia 6, no. 1 (2007): 1–14. http://dx.doi.org/10.2478/v10031-007-0001-8.

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Probability of Exercise of Option To estimate the risk the investors take when investing their money in stocks or stock options one must study if the option is exercised or not. From the point of view of a call option writer, especially those uncovered, one should study the probability of the exercise of option by a holder. The method presented in the paper enables to estimate risk connected with investment in options. In the assessment of risk that is born when investing money in stocks or options it is interesting whether the option will be exercised or not. From the writers' point of view,

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6

Bae, Kwangil. "Analytical Approximations of American Call Options with Discrete Dividends." Journal of Derivatives and Quantitative Studies 26, no. 3 (2018): 283–310. http://dx.doi.org/10.1108/jdqs-03-2018-b0001.

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In this study, we assume that stock prices follow piecewise geometric Brownian motion, a variant of geometric Brownian motion except the ex-dividend date, and find pricing formulas of American call options. While piecewise geometric Brownian motion can effectively incorporate discrete dividends into stock prices without losing consistency, the process results in the lack of closed-form solutions for option prices. We aim to resolve this by providing analytical approximation formulas for American call option prices under this process. Our work differs from other studies using the same assumptio

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7

Szu, Wen-Ming, Yi-Chen Wang, and Wan-Ru Yang. "How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?" Review of Pacific Basin Financial Markets and Policies 18, no. 02 (2015): 1550010. http://dx.doi.org/10.1142/s0219091515500101.

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This paper investigates the characteristics of implied risk-neutral distributions separately derived from Taiwan stock index call and put options prices. Differences in risk-neutral skewness and kurtosis between call and put options indicate deviations from put-call parity. We find that the sentiment effect is significantly related to differences between call and put option prices. Our results suggest the differential impact of investor sentiment and consumer sentiment on call and put option traders' expectations about underlying asset prices. Moreover, rational and irrational sentiment compon

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8

Broughton, John B., Don M. Chance, and David M. Smith. "Implied Standard Deviations And Put-Call Parity Relations Around Primary Security Offerings." Journal of Applied Business Research (JABR) 15, no. 1 (2011): 1. http://dx.doi.org/10.19030/jabr.v15i1.5683.

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<span>This study examines the response of the options market to new security registrations and issuances. Two methods are employed to gauge option market response. The first involves the calculation of implied standard deviations (ISDs) around primary security registration and issuance dates. The second employs American put-call parity to simultaneously evaluate the relationship between put, call and stock prices around these dates. We find a statistically significant mean decrease in relative ISD five trading days before announcement of new stock issuances and a statistically significan

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9

BUCKLEY, JAMES J., and ESFANDIAR ESLAMI. "PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS." New Mathematics and Natural Computation 04, no. 02 (2008): 165–76. http://dx.doi.org/10.1142/s1793005708001008.

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We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncertain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncertain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.

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10

Chauhan, Arun, and Ravi Gor. "COMPARISON OF THREE OPTION PRICING MODELS FOR INDIAN OPTIONS MARKET." International Journal of Engineering Science Technologies 5, no. 4 (2021): 54–64. http://dx.doi.org/10.29121/ijoest.v5.i4.2021.203.

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  Black-Scholes option pricing model is used to decide theoretical price of different Options contracts in many stock markets in the world. In can find many generalizations of BS model by modifying some assumptions of classical BS model. In this paper we compared two such modified Black-Scholes models with classical Black-Scholes model only for Indian option contracts. We have selected stock options form 5 different sectors of Indian stock market. Then we have found call and put option prices for 22 stocks listed on National Stock Exchange by all three option pricing models. Finall

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