Relevant bibliographies by topics / Stock options – Econometric models

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Academic literature on the topic 'Stock options – Econometric models'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Stock options – Econometric models"

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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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Core, John E., Wayne R. Guay, and S. P. Kothari. "The Economic Dilution of Employee Stock Options: Diluted EPS for Valuation and Financial Reporting." Accounting Review 77, no. 3 (2002): 627–52. http://dx.doi.org/10.2308/accr.2002.77.3.627.

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In this paper, we derive a measure of diluted EPS that incorporates the economic implications of the dilutive effects of employee stock options. We show that the existing FASB treasury-stock method of accounting for the dilutive effects of outstanding options systematically understates the options' dilutive effect, and thus overstates reported EPS. Using firm-wide data on 731 employee stock option plans, our proposed measure suggests that economic dilution from options is, on average, 100 percent greater than dilution in reported diluted EPS using the FASB treasury-stock method. We examine the
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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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Galai, Dan. "A Note on "Equilibrium Warrant Pricing Models and Accounting for Executive Stock Options"." Journal of Accounting Research 27, no. 2 (1989): 313. http://dx.doi.org/10.2307/2491238.

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Huang, Fangzhou, Jiao Song, and Nick J. Taylor. "The impact of time-varying risk on stock returns: an experiment of cubic piecewise polynomial function model and the Fourier Flexible Form model." Data Science in Finance and Economics 1, no. 2 (2021): 141–64. http://dx.doi.org/10.3934/dsfe.2021008.

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<abstract> <p>With fast evolving econometric techniques being adopted in asset pricing, traditional linear asset pricing models have been criticized by their limited function on capturing the time-varying nature of data and risk, especially the absence of data smoothing is of concern. In this paper, the impact of data smoothing is explored by applying two asset pricing models with non-linear feature: cubic piecewise polynomial function (CPPF) model and the Fourier Flexible Form (FFF) model are performed on US stock returns as an experiment. The traditional beta coefficient is treat
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GAN, JUNWU. "ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS." International Journal of Theoretical and Applied Finance 08, no. 08 (2005): 1019–57. http://dx.doi.org/10.1142/s0219024905003384.

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This paper develops a unified formulation and a new computational methodology for the entire class of the multi-factor Markovian interest rate models. The early exercise premium representation for general American options is derived for all Markovian models. The option cash flow functions are decomposed into fast and slowly varying components. The fast varying components have the same expression for all options within a model. They are calculated analytically. Only the slowly varying components are option specific. Their backward induction for a finite time interval is carried out from Taylor
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SCHOUTENS, WIM, and STIJN SYMENS. "THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 06, no. 08 (2003): 839–64. http://dx.doi.org/10.1142/s0219024903002249.

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Recently, stock price models based on Lévy processes with stochastic volatility were introduced. The resulting vanilla option prices can be calibrated almost perfectly to empirical prices. Under this model, we will price exotic options, like barrier, lookback and cliquet options, by Monte–Carlo simulation. The sampling of paths is based on a compound Poisson approximation of the Lévy process involved. The precise choice of the terms in the approximation is crucial and investigated in detail. In order to reduce the standard error of the Monte–Carlo simulation, we make use of the technique of co
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Bonilla, Claudio A., Rafael Romero-Meza, and Carlos Maquieira. "NONLINEARITIES AND GARCH INADEQUACY FOR MODELING STOCK MARKET RETURNS: EMPIRICAL EVIDENCE FROM LATIN AMERICA." Macroeconomic Dynamics 15, no. 5 (2010): 713–24. http://dx.doi.org/10.1017/s1365100510000295.

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In this paper, we analyze the adequacy of using GARCH as the data-generating process to model conditional volatility of stock market index rates-of-return series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fail to provide an adequate characterization for the underlying process of the main Latin American stock market indices. Policymakers need to be careful when using autoregressive models for policy analysis and forecast because the inadequacy of GARCH models has strong implications for the pricing of stock index options, portfolio
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ERIKSSON, JONATAN. "MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES." International Journal of Theoretical and Applied Finance 09, no. 06 (2006): 987–96. http://dx.doi.org/10.1142/s0219024906003822.

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We generalize earlier results on barrier options for puts and calls and log-normal stock processes to general local volatility models and convex contracts. We show that Γ ≥ 0, that Δ has a unique sign and that the option price is increasing with the volatility for convex contracts in the following cases: • If the risk-free rate of return dominates the dividend rate, then it holds for up-and-out options if the contract function is zero at the barrier and for down-and-in options in general. • If the risk-free rate of return is dominated by the dividend rate, then it holds for down-and-out option
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ARETZ, KEVIN, and PETER F. POPE. "Real Options Models of the Firm, Capacity Overhang, and the Cross Section of Stock Returns." Journal of Finance 73, no. 3 (2018): 1363–415. http://dx.doi.org/10.1111/jofi.12617.

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Dissertations / Theses on the topic "Stock options – Econometric models"

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

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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
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Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.

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Keskitalo, Johan. "A Comparison of Recurrent Neural Networks Models and Econometric Models for Stock Market Predictions." Thesis, Umeå universitet, Institutionen för fysik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-174921.

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It is well known that the stock market is highly volatile, so stock price prediction is a very challenging task. However, in order to make a profit or to understand the equity market, many investors and researchers use various statistical, econometric, and neural network models to make the best stock price predictions possible. In this thesis the aim is to compare the predictability of two econometric models, the exponential moving average (EMA) and auto regressive integrated moving average (ARIMA) models, and two neural network models, a simple recurrent neural network (RNN) and the long shor
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Weier, Annette 1960. "Demutualisation in the Australian life insurance industry." Monash University, Dept. of Economics, 2000. http://arrow.monash.edu.au/hdl/1959.1/8371.

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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.

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Oliveira, Lima Jorge Claudio Cavalcante de. "Fractional integration and long memory models of stock price volatility : the evidence of the emerging markets." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38164.

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Following the important work on unit roots and cointegration which started in the mid-1980s, a great deal of econometric works has been devoted to the study of the subtleties and varieties of near nonstationarity and persistence that characterize so many economic and financial time series. In recent years research activity has gained importance with outstanding contributions made on estimation and testing of a wide variety of long memory processes, together with many interesting and imaginative applications over a wide variety of different fields of economics and finance. For these reasons, th
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Hao, Fangcheng, and 郝方程. "Options pricing and risk measures under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B4714726X.

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Venter, Rudolf Gerrit. "Pricing options under stochastic volatility." Diss., Pretoria : [s.n.], 2003. http://upetd.up.ac.za/thesis/available/etd09052005-120952.

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Almeida, Leonardo Viana de. "Short selling recall option pricing: empirical and theoretical approaches." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-22112016-114644/.

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Short selling is important for price efficiency as it helps negative information to be incorporated into prices. As short selling requires borrowing stock in advance, the equity lending market plays a central role in price efficiency. For instance, when the costs of borrowing certain equities are high, these stocks are likely to be overpriced. Unfortunately, not much is known about the equity lending market, particularly the Brazilian market. Here, we have investigated a particular feature of the equity lending contract, namely, the lender recall option. Lending contracts either i) allow the l
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Li, Heng. "New econometrics models with applications." HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1165.

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Books on the topic "Stock options – Econometric models"

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Hallock, Kevin F. The value of stock options to non-executive employees. National Bureau of Economic Research, 2006.

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Köpf, Georg. Ansätze zur Bewertung von Aktienoptionen: Eine kritische Analyse. V. Florentz, 1987.

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Gonçalves, Silva. Predictable dynamics in the S&P 500 index options implied volatility surface. Federal Reserve Bank of St. Louis, 2005.

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Mehran, Hamid. The impact of employee stock options on the evolution of compensation in the 1990s. National Bureau of Economic Research, 2001.

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Bates, David S. Post-'87 crash fears in S&P 500 futures options. National Bureau of Economic Research, 1997.

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Garleanu, Nicolae. Demand-based option pricing. National Bureau of Economic Research, 2005.

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Hall, Brian J. The pay to performance incentives of executive stock options. National Bureau of Economic Research, 1998.

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Noh, Jaesun. A test of efficiency for the S&P 500 index option market using variance forecasts. National Bureau of Economic Research, 1993.

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Jolls, Christine M. Stock repurchases and incentive compensation. National Bureau of Economic Research, 1998.

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Cho, Young-Hye. Modeling the impacts of market activity on bid-ask spreads in the option market. National Bureau of Economic Research, 1999.

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Book chapters on the topic "Stock options – Econometric models"

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Mizen, Paul. "Econometric methods." In Buffer Stock Models and the Demand for Money. Macmillan Education UK, 1994. http://dx.doi.org/10.1007/978-1-349-23660-2_4.

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Kaehler, Juergen, and Volker Marnet. "Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options." In Econometric Analysis of Financial Markets. Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_13.

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"Risk-Neutral Models with Optimal Exercises." In Employee Stock Options. World Scientific, 2021. http://dx.doi.org/10.1142/9789813209640_0002.

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"The Binomial Model for Stock Options." In Binomial Models in Finance. Springer New York, 2006. http://dx.doi.org/10.1007/0-387-31607-8_2.

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Jawad, Muhammad, and Munazza Naz. "An Econometric Investigation of Market Volatility and Efficiency: A Study of Small Cap’s Stock Indices." In Linear and Non-Linear Financial Econometrics -Theory and Practice [Working Title]. IntechOpen, 2020. http://dx.doi.org/10.5772/intechopen.94119.

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By utilization the context of econometric models, this chapter investigates three significant research parameters and tries to find out the positive outcome for further studies. The first question, is the volatility of Small Cap foreseeable?. The second question, does the volatility of Small Cap exhibition the same pragmatic regularities stated in the literature about the behavior of further stock prices?, The third and Final question, can Small Cap clear the test of market efficiency?. The results of these research questions will provide the answers of following objectives: First, economic representatives investing in Small Cap Stock markets. Second, the business professors/professionals/educationist is more concerned in Small Cap for their teaching and research. Third, the policy makers who are observing the stock market volatilities because of its significances and impulsive behavior to invest for more incentives among other consequences.
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Mouna, Aloui, and Jarboui Anis. "The Primary Origin of the Financial Crisis." In Financial Crises - A Selection of Readings. IntechOpen, 2021. http://dx.doi.org/10.5772/intechopen.86173.

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This paper examines the relationship between the stock return volatility, outside directors, independent directors, and variable control using simultaneous-equation panel data models for a panel of 89 France-listed companies on the SBF 120 over the period of 2006–2012. Our results showed that the outside directors (FD) and audit size increase the stock return volatility. Furthermore, the results indicate that the independent directors and ROA have a negative effect on the stock return volatility; this result indicates that these variables contribute to decrease and stabilize the stock return volatility. This study employs a variety of econometric models, including feedback, to test the robustness of our empirical results. Also, we examine the relationship between the corporate governance and the stock returns volatility, exchange rate, and treasury bill using GARCH-BEKK model for a panel of 99 French firms over the period of 2006–2013.
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Caggese, Andrea. "Effects of options introduction on stock price volatility: an empirical testing on high-tech firm equities based on SSC-GARCH models." In Finance, Investment and Innovation. Routledge, 2018. http://dx.doi.org/10.4324/9781351068284-6.

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"Pacific Salmon Environmental and Life History Models: Advancing Science for Sustainable Salmon in the Future." In Pacific Salmon Environmental and Life History Models: Advancing Science for Sustainable Salmon in the Future, edited by J. Hal Michael, Andrew Appleby, and John Barr. American Fisheries Society, 2009. http://dx.doi.org/10.47886/9781934874097.ch22.

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<em>Abstract.</em>—The All-H Analyzer (AHA model) is a tool that allows salmon managers to simultaneously evaluate the impact that habitat restoration (or degradation), changes in fisheries, or changes in hatchery operation would have on a specific fish population or stock. This paper presents the (idealized) results of how AHA can be used to set a long-term salmon restoration, recovery, and fishery plan. It takes the process from initial goal setting, through exploring how those goals can be evaluated by AHA, and then how they can be accomplished. The results of implementation of various options are evaluated with AHA both in terms of “numerical” escapement to the spawning grounds, the amount and direction of gene flow, and the number of fish harvested. In this way, activities can be prioritized, planned, carried out, and evaluated against an expected response. It is also possible to evaluate “what-if” scenarios to better plan multiple activities within a watershed.
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Davis, Mark H. A. "3. The classical theory of option pricing." In Mathematical Finance: A Very Short Introduction. Oxford University Press, 2019. http://dx.doi.org/10.1093/actrade/9780198787945.003.0003.

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‘The classical theory of option pricing’ explains the theory of arbitrage pricing, which is closely related to the Dutch Book Arguments, but which brings in a new factor: prices in financial markets evolve over time and participants are able to trade at any time, instead of just taking bets and awaiting the result. In addition to the general theory, pricing models and methods have been developed for specific markets—foreign exchange, interest rates, and credit. The binomial and continuous-time mathematical models for stock prices are introduced along with the Black–Scholes formula, the volatility surface, the difference between European and American options, and the Fundamental Theorem of Asset Pricing.
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Nolte, David D. "Economic Dynamics." In Introduction to Modern Dynamics. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198844624.003.0010.

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In microeconomics, forces of supply and demand lead to stable competition as well as business cycles. Continuous systems with price and quantity adjustments and a cost of labor exhibit Hopf bifurcation and a bifurcation cascade to chaos. Discrete cobweb models capture delayed adjustments that also can exhibit bifurcation cascades. In macroeconomics, investment-savings and liquidity-money capture dynamics in real income related to interest rates. Inflation and unemployment are also coupled through the Phillips curve with adaptive expectations. The stochastic dynamics of the stock market is introduced through stochastic variables that can be added to continuous-time price models. An important example of a stochastic dynamics in econophysics is the Black–Scholes equation for options pricing.
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Conference papers on the topic "Stock options – Econometric models"

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Ruth, Mark F., Victor Diakov, Melissa J. Laffen, and Thomas A. Timbario. "Projected Cost, Energy Use, and Emissions of Hydrogen Technologies for Fuel Cell Vehicles." In ASME 2010 8th International Conference on Fuel Cell Science, Engineering and Technology. ASMEDC, 2010. http://dx.doi.org/10.1115/fuelcell2010-33185.

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Each combination of technologies necessary to produce, deliver, and distribute hydrogen for transportation use has a corresponding levelized cost, energy requirement, and greenhouse gas emission profile depending upon the technologies’ efficiencies and costs. Understanding the technical status, potential, and tradeoffs is necessary to properly allocate research and development (R&D) funding. In this paper, levelized delivered hydrogen costs, pathway energy use, and well-to-wheels (WTW) energy use and emissions are reported for multiple hydrogen production, delivery, and distribution pathwa
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Mirth, John A. "The Design and Prototyping of Complex Compliant Mechanisms via Multi-Material Additive Manufacturing Techniques." In ASME 2016 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/detc2016-59078.

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The construction of compliant mechanisms is commonly performed in a single plane, due to the limitations on available manufacturing processes. This paper looks at the design and manufacturing of compliant mechanisms with members that cross over one another and thus need to be manufactured by alternative methods. The approach described here relies on the use of sheet-metal modeling software to create a 3D representation of a compliant linkage that can then be unfolded and 3D printed as a flat part. The modeling process begins with the development of a pseudo-rigid-body linkage to obtain a mecha
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