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

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Published: 4 June 2021

Last updated: 1 February 2022

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1

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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2

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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3

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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4

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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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.

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6

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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7

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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8

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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9

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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10

Li, Heng. "New econometrics models with applications." HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1165.

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11

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.

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12

Bury, Thomas. "Collective behaviours in the stock market: a maximum entropy approach." Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209341.

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Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated behaviours find their origin in the theory of complex systems. There are several mechanisms which generate scale invariance but maximum entropy models are able to explain both scale invariance and collective behaviours.<p>The study of the structure and collective modes of financial markets attracts more and more attention. It has been shown that some agent base

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13

Nowman, Khalid. "Gaussian estimation of open higher order continuous time dynamic models with mixed stock and flow and with an application to a United Kingdom macroeconomic model." Thesis, University of Essex, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.305955.

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14

Yuen, Fei-lung, and 袁飛龍. "Pricing options and equity-indexed annuities in regime-switching models by trinomial tree method." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B45595616.

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15

Luo, Xingguo, and 骆兴国. "Two essays on interest rate and volatility term structures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44921251.

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16

King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.

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Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate po

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17

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

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18

Clayton, Maya. "Econometric forecasting of financial assets using non-linear smooth transition autoregressive models." Thesis, University of St Andrews, 2011. http://hdl.handle.net/10023/1898.

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Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model

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19

Lewis, Andrew (Andrew Michael). "Using Stochastic Optimization and Real-Options Models to Value Private Sector Incentives to Invest in Food Protection Measures." Thesis, North Dakota State University, 2006. https://hdl.handle.net/10365/29905.

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Agro-terrorism has become a major concern since the September 11, 2001, terrorist attacks due to characteristics that create unique problems for managing the threat of an agro-terrorist attack. The costs of trucking delays alone were in the tens of millions of dollars. Over the last few years, the government has spent billions of dollars on biological surveillance and record keeping in preventing potential attacks. Several public and private initiatives are currently in use. Examples include 1) the bio-terrorism regulation of 2004 on maintenance of records; 2) establishment of food protection

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Lewis, Andrew Michael. "Using Stochastic Optimization and Real-Options Models to Value Private Sector Incentives to Invest in Food Protection Measures." Thesis, North Dakota State University, 2006. https://hdl.handle.net/10365/29905.

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Agro-terrorism has become a major concern since the September 11, 2001, terrorist attacks due to characteristics that create unique problems for managing the threat of an agro-terrorist attack. The costs of trucking delays alone were in the tens of millions of dollars. Over the last few years, the government has spent billions of dollars on biological surveillance and record keeping in preventing potential attacks. Several public and private initiatives are currently in use. Examples include 1) the bio-terrorism regulation of 2004 on maintenance of records; 2) establishment of food protection

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21

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.

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22

Milunovich, George Economics Australian School of Business UNSW. "Modelling and valuing multivariate interdependencies in financial time series." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/25162.

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This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not,

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23

Yoldas, Emre. "Essays on multivariate modeling in financial econometrics." Diss., [Riverside, Calif.] : University of California, Riverside, 2008. http://proquest.umi.com/pqdweb?index=0&did=1663051691&SrchMode=2&sid=2&Fmt=6&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1265225972&clientId=48051.

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Thesis (Ph. D.)--University of California, Riverside, 2008. Thesis (Ph. D.)--University of California, Riverside, 2009.<br>Includes abstract. Title from first page of PDF file (viewed February 3, 2009). Available via ProQuest Digital Dissertations. Includes bibliographical references (p. 135-137). Includes bibliographical references (leaves ). Also issued in print.

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24

Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.

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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging market

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25

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.

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26

Humpe, Andreas. "Macroeconomic variables and the stock market : an empirical comparison of the US and Japan." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/464.

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27

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.

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28

Tsu, Maria E. "Dynamic analysis of an open economy and foreign exchange risk management using path-dependent options." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-06112009-063829/.

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29

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.

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30

Maredza, Andrew. "Profit incentives and technical efficiency in the provision of health care in Zimbabwe: an application of data envelopment analysis and econometric methods." Thesis, University of Fort Hare, 2009. http://hdl.handle.net/10353/294.

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This study examines issues surrounding efficiency in the Zimbabwean health sector with specific emphasis on for-profit hospitals in order to find out whether they are significantly more efficient than non-profit hospitals. The study attempts to explore the significance of profit incentives on efficiency. This study uses the Data Envelopment Analysis (DEA) methodology to examine hospital efficiency scores for the 100 hospitals in the sample classified as for-profit, mission and public. Outputs of the study include inpatient days and outpatient visits. The number of beds, doctors and nurses were

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31

Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.

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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.<br>Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.

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32

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

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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

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33

D'Agostino, Antonello. "Understanding co-movements in macro and financial variables." Doctoral thesis, Universite Libre de Bruxelles, 2007. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210597.

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Over the last years, the growing availability of large datasets and the improvements in the computational speed of computers have further fostered the research in the fields of both macroeconomic modeling and forecasting analysis. A primary focus of these research areas is to improve the models performance by exploiting the informational content of several time series. Increasing the dimension of macro models is indeed crucial for a detailed structural understanding of the economic environment, as well as for an accurate forecasting analysis. As consequence, a new generation of large-scale mac

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34

BAUER, HENRIQUE. "SKEWNESS AND KURTOSIS CONES ON BRAZILIAN STOCK CALL OPTIONS MARKET: AN ANALYSIS OF VOLATILITY CONES BEYOND IMPLIED VOLATILITY CALCULATED BY CORRADO-SU AND BLACK-SCHOLES MODELS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=19876@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>O presente estudo tem como objetivo mostrar a existência de cones de assimetria e curtose no mercado brasileiro de opções. Além disso, os coeficientes de assimetria e curtose são de suma importância para a aplicação do modelo de Corrado e Su (1996). As volatilidades implícitas calculadas pelo método inverso deste modelo serão sobrepostas aos cones de volatilidade, buscando oportunidades de compra ou de venda de volatilidade. Para efeito de comparação, o modelo de Black e Schol

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35

Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.

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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE

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Horáček, Jan. "Vliv počasí na spekulativní pohyby burzy." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113587.

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Topic of this master thesis is to examine whether weather related mood changes are in correlation with price of stocks. Thesis focuses on middle Europe stock market indexes PX, SAX, ATX and DAX. Research is based on relationship between daily cloud cover and development of the indexes form 1995 to 2012. It also focuses on comparison of several different models, especially models of seemingly unrelated regressions. It shows that indexes PX and ATX are significantly negatively correlated with local cloud cover. Use of seemingly unrelated regressions offers slightly better results. The relation b

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37

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.

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38

Ladrón, de Guevara Cortés Rogelio. "Techniques For Estimating the Generative Multifactor Model of Returns in a Statistical Approach to the Arbitrage Pricing Theory. Evidence from the Mexican Stock Exchange." Doctoral thesis, Universitat de Barcelona, 2016. http://hdl.handle.net/10803/386545.

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This dissertation focuses on the estimation of the generative multifactor model of returns on equities, under a statistical approach of the Arbitrage Pricing Theory (APT), in the context of the Mexican Stock Exchange. Therefore, this research takes as frameworks two main issues: (i) the multifactor asset pricing models, specially the statistical risk factors approach, and (ii) the dimension reduction or feature extraction techniques: Principal Component Analysis, Factor Analysis, Independent Component Analysis and Non-linear Principal Component Analysis, utilized to extract the underlying syst

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39

Starkey, Randall Ashley. "Financial system development and economic growth in selected African countries: evidence from a panel cointegration analysis." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002713.

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Financial systems (i.e. banking systems and stock markets) can influence economic growth by performing the five key financial functions, namely: mobilising savings, allocating capital, easing of exchange, monitoring and exerting corporate governance, as well as ameliorating risk. The level of development of the financial system is a key determinant of how effectively and efficiently these functions are performed. This study examines the short-run and long-run relationships between financial system development and economic growth for a panel of seven African countries (namely: Egypt, Ivory Coas

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Tongo, Yanga. "Financial sector development and sectoral output growth evidence from South Africa." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1002739.

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The goal of the study is to examine the relationship between financial sector development and output growth in the agricultural, mining and manufacturing sectors in South Africa. The analysis is based on the hypothesis that financial development is essential for promoting production growth in an economy. To test the hypothesis, in the South African context, the vector autoregressive model (VAR) framework and Granger causality test are applied to a quarterly data set starting from 1970 quarter one to 2009 quarter four. The results suggest that financial intermediary development (bank based meas

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Ajagbe, Stephen Mayowa. "An analysis of the long run comovements between financial system development and mining production in South Africa." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002689.

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This study examines the nature of the relationship which exists between mining sector production and development of the financial systems in South Africa. This is particularly important in that the mining sector is considered to be one of the major contributors to the country’s overall economic growth. South Africa is also considered to have a very well developed financial system, to the point where the dominance of one over the other is difficult to identify. Therefore offering insight into the nature of this relationship will assist policy makers in identifying the most effective policies in

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"An empirical analysis of hedge ratio: the case of Nikkei 225 options." 2001. http://library.cuhk.edu.hk/record=b5890814.

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Lam Suet-man.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.<br>Includes bibliographical references (leaves 111-117).<br>Abstracts in English and Chinese.<br>ACKNOWOLEDGMENTS --- p.iii<br>LIST OF TABLES --- p.iv<br>LIST OF ILLUSTRATIONS --- p.vi<br>CHAPTER<br>Chapter ONE --- INTRODUCTION --- p.1<br>Chapter TWO --- REVIEW OF THE LITERATURE --- p.6<br>Parametric Models<br>Nonparametric Estimation Techniques<br>Chapter THREE --- METHODOLOGY --- p.21<br>Parametric Models<br>Nonparametric Models<br>Chapter FOUR --- DATA DESCRIPTION --- p.33<br>Chapter FIVE --- EMPIRICAL FINDINGS

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Chandrashekar, Satyajit. "Three new perspectives for testing stock market efficiency." Thesis, 2006. http://hdl.handle.net/2152/3757.

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"Nonparametric analysis of hedge ratio: the case of Nikkei Stock Average." 1998. http://library.cuhk.edu.hk/record=b5889511.

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by Lee Chi Kau.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.<br>Includes bibliographical references (leaves 115-119).<br>Abstract also in Chinese.<br>ACKNOWLEDGMENTS --- p.iii<br>LIST OF TABLES --- p.iv<br>LIST OF ILLUSTRATIONS --- p.vi<br>CHAPTER<br>Chapter ONE --- INTRODUCTION --- p.1<br>Chapter TWO --- THE LITERATURE REVIEW --- p.6<br>Parametric Models<br>Nonparametric Estimation Techniques<br>Chapter THREE --- ANALYTICAL FRAMEWORKS --- p.21<br>Parametric Models<br>Nonparametric Models<br>Chapter FOUR --- EMPIRICAL FINDINGS --- p.36<br>Data<br>Estimation Results<br>Eva

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"Hybrid VAR, neural network, and evolutionary computation for predicting Asian Pacific market lead-lag dynamics." 2003. http://library.cuhk.edu.hk/record=b5891593.

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by Ao, Sio Iong.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.<br>Includes bibliographical references.<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 1.1 --- Overview --- p.2<br>Chapter 1.2 --- Topics of this Study --- p.3<br>Chapter 1.3 --- Econometric Analysis --- p.3<br>Chapter 1.4 --- Computational Intelligence --- p.4<br>Chapter 1.4.1 --- Overview --- p.4<br>Chapter 1.4.2 --- Successful Cases of Applying CI in Time Series Analysis --- p.4<br>Chapter 2 --- Background --- p.6<br>Chapter 2.1 --- Market Descriptions --- p.6<br>Chap

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"Long run diversification potential in Asian stock markets: a test of cointegration." 1997. http://library.cuhk.edu.hk/record=b5889149.

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by Lam Cham.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1997.<br>Includes bibliographical references (leaves 75-79).<br>ACKNOWLEDGMENTS --- p.i<br>ABSTRACT --- p.ii<br>LIST OF TABLES --- p.iii<br>LIST OF FIGURES --- p.iv<br>Chapter CHAPTER 1: --- INTRODUCTION --- p.1<br>Chapter CHAPTER 2: --- HISTORICAL BACKGROUND --- p.8<br>Chapter 2.1 --- Financial Liberalization in Nine Asian Countries --- p.8<br>Chapter 2.1.1 --- Hong Kong --- p.8<br>Chapter 2.1.2 --- Korea --- p.12<br>Chapter 2.1.3 --- "Indonesia, Malaysia, Singapore and Thailand - the ASEAN-4" --- p.15<br>Chapter 2.

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"Catastrophic equity put options with stochastic interest rate and stochastic volatility." 2013. http://library.cuhk.edu.hk/record=b5549267.

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巨災權益賣權(CatEPut option) 是種常見的與風險掛鉤的證券(risk-linked security) ，它經常被用來對沖巨災風險，在這篇文章中，我們在隨機利息率和隨機波動率的條件下對巨災權益實權進行定價。我們使用了高維傅利葉變換的方法來進行定價，并得到了巨災權益賈權價格的顯式表達，數據實驗的結果顯示，我們的定價公式和方法是高效和精確的。此外，我們還發現隨機利息率和隨機波動率對巨災權益賣權的價格有很大影響。<br>The catastrophic equity put (CatEPut) options which serve as a kind of risklinked securities are quite popular in hedging catastrophic risk. In this thesis, the CatEPut options are priced with the stochastic interest rate and stochastic volatility (SISV). We use a two-dimensional Fourier transform over the log price and the catastrophic loss to derive the closed-form CatEPut option

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"Options, volatility and simulations." 1997. http://library.cuhk.edu.hk/record=b5889132.

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by Veronica Ho Pui Kwan.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1997.<br>Includes bibliographical references (leaves 99-103).<br>Prologue --- p.1<br>Chapter Essay I: --- Examination of the GARCH Option Pricing Model in the case of Hang Seng Index Option<br>Chapter 1. --- Introduction --- p.4<br>Chapter 2. --- Holes' in the Black-Scholes Model --- p.7<br>Chapter 3. --- A Big 'Hole' -- Varying Volatility --- p.14<br>Chapter 4. --- A Remedy : the GARCH Option Pricing Model --- p.31<br>Chapter 5. --- Research Methodology and Data --- p.38<br>Chapter 6. --- Empirical Results -

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Li, Haidan. "Stock option compensation and equity valuation." Thesis, 2002. http://wwwlib.umi.com/cr/utexas/fullcit?p3099479.

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50

"The impact of default barriers on corporate assets." 2004. http://library.cuhk.edu.hk/record=b5892210.

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Abstract:

Choi Tsz Wang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 43-45).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Review of Structural Models --- p.5<br>Chapter 2.1 --- The Merton model --- p.5<br>Chapter 2.2 --- The default barrier model of Black and Cox --- p.7<br>Chapter 3 --- Estimating the Merton model --- p.10<br>Chapter 3.1 --- The Variance Restriction (VR) method --- p.10<br>Chapter 3.2 --- The Maximum Likelihood estimation (ML) method --- p.12<br>Chapter 3.3 --- Compariso

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