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Rozprawy doktorskie na temat „Options expiration”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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1

Mozayyan, Esfahani Sina. "Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252297.

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The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. In this paper the FX option expiration effect is investigated with the aim of finding out whether it provides valuable information for predicting FX rate movements. New models are created based on the concept of the option relevance coefficient that determines which options are at higher risk of being

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Dang, Sajan Singh, and Daniel Noyan. "En studie av lösensdagseffekt på aktiekursens volatilitet." Thesis, Södertörn University College, School of Business Studies, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-164.

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<p>The purpose of this study is to examine the expiration day effect on a stocks volatility due to stock option expiration, which is every third Friday in the month on Stockholm stock exchange. Volatility is the standard deviation of a stock. It measures the uncertainty about a stocks future movement. When volatility increases, the chance or probability of a stock going up or down increases. It’s a common rumor among stock traders that stock volatility tends to increase nearby expiration day. Trader calls it expiration day effect. Some previous studies which the authors of this thesis have stu

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3

Hsieh, Meng-Fang, and 謝孟芳. "The relationship between different time-expiration options moneyness: Evidence from Taiwan options market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/45445774439356950984.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>99<br>The two main goals of this study are to examine the relationship between different time-expiration options moneyness with intraday data and to find out the impact of institutional investors on the options moneyness. To achieve this purpose, this study adopts the intraday time-series data which the trading volume is accumulated within fifteen minutes frequency. In this study, the options moneyness data can be classified by different expiration date into nearby, second-nearby and deferred contracts. The types of traders are divided into three categories, includin

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4

Lin, Ying-Cheng, and 林穎正. "The Expiration Day Buying Trading Strategy of TAIEX Options." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/47264334311441377088.

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碩士<br>國立屏東大學<br>國際貿易學系碩士班<br>103<br>TAIEX Options have the characteristics of low cost and high leverage and for hedge, arbitrage, and speculative transaction so that more and more investors to participate in the transaction. A higher proportion of institutional juristic persons participate in the transaction and the price manipulation on the settlement dates case time to time. In this study we use the structure of TAIEX Futures open interest of top ten traders and TAIEX Options open interest of top ten traders from Taiwan Futures Exchange as indicators to test the relation between the indexes

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5

Wu, Yen-Lin, and 吳彥霖. "Expiration Effect of Exchange Traded Funds and Options Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/u9s7zb.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>106<br>This study mainly discusses the expiration effect of Exchange Traded Funds and option market, by using Taiwan option intraday data and Taiwan Top 50 ETF during 5th January, 2009 to 30th November, 2012. We exchange the intraday data into every five minutes, and then classified ETF by foreign and natural person. This paper only use the open-position option, and classified it by “buy-sell”, “call-put”, “trader”, and “contract”, so that it’s better to understand the trading behavior of market participants. The empirical model uses GARCH model to analyze ratio of r

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6

Lee, Tzu-ling, and 李紫菱. "Stock Price Clustering on Option Expiration Dates：Some Empirical Evidence from Taiwan Stock Options Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/58615420878047597509.

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碩士<br>國立高雄第一科技大學<br>金融所<br>98<br>The paper follows the Ni , Pearson and Poteshman(2005) methodology to present evidence that Taiwan Futures Exchange，s option trading in the January 2003 through December 2007 changes the prices of underlying stocks. The empirical results indicate that option volume in Taiwan are few so that stock price declustering on expiration dates. The empirical results is not support the Ni , Pearson and Poteshman(2005) evidence that CBOE on option expiration dates the closing prices of stocks with listed options cluster at option strike prices.

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Mota, João Pedro Alves. "Empirical analysis of stock clustering at monthly options expiration dates." Master's thesis, 2018. http://hdl.handle.net/10400.14/25467.

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This paper presents evidence that stocks with listed options are more likely to cluster at option strike prices at monthly expiration dates than in any other trading day from January 1st, 2010 to December 31st, 2015. To assure that there is a relation between the phenomena observed and options trading, we compare stock clustering distributions for optionable and non-optionable stocks trading in the AMEX, NASDAQ and NYSE stock exchanges in 72 monthly expirations. For optionable stocks, we find that the probability of pinning at option strike prices at monthly expiration dates is higher than any

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8

Tsai, Yi Ching, and 蔡依靜. "Price Volatility Expiration-day effects Rearch for the TAIEX options." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/29797235861738081350.

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碩士<br>中國文化大學<br>資訊管理學系碩士在職專班<br>101<br>This study applies statistical analysis model to investigate the abnormal variation of the volatility, price reversal and volume changes of TAIEX options near the expiration date. The result can help the investors to decide the appropriate timing for hedging to reduce the probability of losing the premium. The main findings of this study are as follows: 1. According to the risk distribution with reference to the abnormal History Volatility and the Open Interest variation, the risk probably occurs during the period of the one to six days before the expirat

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9

TSENG, HUA-MEI, and 曾華美. "THE STUDY ON EXPIRATION EFFECTS OF TAIWAN STOCK INDEX FUTURES AND OPTIONS." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/98698330296945407284.

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碩士<br>國立臺北大學<br>國際財務金融碩士在職專班<br>96<br>To test the expiration effects of Taiwan stock index futures and options, we examine the underlying stock market from July 12, 1998 to Dec. 31, 2007. This paper first investigates the expiration effects of Taiwan stock index futures and options. Then we examine the influence on the expiration effect after the new settlement procedure executed on Nov. 2001. Finally, this paper tests whether the day-of-the-week effect on Taiwan stock index. The empirical results show as follows: First, this study finds no significant abnormal return for Taiwan stock index

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10

Wang, Yi-Hsiang, and 王奕翔. "Determinants of Expiration-Day Effects of Taiwan Stock Index Futures and Options." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/41884231657855832294.

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碩士<br>國立高雄第一科技大學<br>金融營運所<br>94<br>ABSTRACT The study examines the expiration-day effects of index futures and index options on the Taiwan stock market after the computation method of final settlement price period is changed . The results show that expiration-day effects do not exist when the overnight returns are included in the GARCH . But expiration-day effects appear when we exclude overnight returns . In addition , the pricing biases of futures and options are not related to the behavior of the stock market . It seems that the expiration-day effect cannot be attributed to the arbitrage be

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11

Chou, Hsing-Chien, and 周行健. "An Investigation on the Expiration Effect among TAIEX Index, TAIEX CallOptions, and TAIEX Put Options." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/q3cuu3.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>94<br>This study is based on a simulated event study and the Tri-variate GARCH model. The data used includes daily closing price of TAIEX index and daily settlement prices of the nearest month of at-the-money calls and puts. In this research, we test the expiration effect of TAIEX options with up to 5 days left to expiration and have also examined the relationship among TAIEX index, the return of TAIEX options and the volatility of TAIEX options The sample period of this research is from Jan. 1, 2003 to Dec. 31, 2005 because the trading volume of TAIEX options ar

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12

HUANG, YU-TENG, and 黃昱騰. "Research on Rise or Fall Forecast on the Expiration Date: Based on Taiwan Weighted Index Futures and Options." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/mw4q74.

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碩士<br>逢甲大學<br>金融碩士在職學位學程<br>106<br>This study is a research on rise or fall prediction on the expiration date. The data collection period of this paper was from January 2009 to April 2018. Data from January 2009 to December 2014 were taken as in-samples, and data from January 2015 to April 2018 were taken as out-sample. In this article, we take four categories of variables, such as TWSE trading information, futures and options data in TAIFEX, international stock markets and exchange rates, total 14 factors. After concerned all the variables, using Logistic regression model in-sample data to pr

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13

Schuchard, Laura Mae. "Examining the Economic Implications and Considerations for Continued Involvement in the Conservation Reserve Program in Texas." Thesis, 2011. http://hdl.handle.net/1969.1/ETD-TAMU-2011-08-9994.

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The Conservation Reserve Program (CRP) has become increasingly important in Texas due to the high level of program participation, particularly in the high plains of Texas. There is also a seemingly large amount of CRP contracts that will expire, particularly in the next five years. As these contracts expire, it becomes very important for landowners to evaluate fully the options that are available for future land use. This research focused primarily on the ten counties in Texas having the most acres of CRP enrollment, which include Gaines, Deaf Smith, Lamb, Hale, Floyd, Dallam, Hockley, Terr

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14

Jou, Meng-Shuan, and 周孟宣. "An Empirical Study on the trade strategy of TAIEX Options-An Example of each expiration month contract first day closing price until to the due settlement." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/48990765759566874926.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>94<br>Abstract TAIEX Options（TXO）has been listed and traded for four years , and sttlement account total 48 expiration month contracts , in order to verificate 24 kinds of trade strategies and 502 set of combination trade positions , which can make profit good , the author select 7 Call and 7 Put strick price , which have high trade volumes of each expiration month contract first day closing price , to calculate each one’s profit-loss；In addition , verificate 19292 sets of「random combination positions」test to examine the one of best。 We can compare and assess

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15

YUAN, YU SHIH, and 于士媛. "Expirations of Index derivatives Effects－The Case of TAIEX Future and Option." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/25384377147633642450.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>91<br>References about expiration effect figured out that there would be larger trading volume, abnormal return volatility and price effect when the index future expired at the closing price. This study investigates the impact of TX, TE, TF, MTX and TXO on the stock market in Taiwan. The data period is from 1998/9~2002/12. This study gets the same results with influence of different financial products. The results show that there was no significant abnormal price effect, no abnormal return volatility, and no abnormal trading volume in Taiwan stock market.

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16

Phoebe and 黃明華. "The Reasearch of Expiration Effect between TSE Stock Index and Long Strangle strategy trading of TAIEX Option." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/16353121106759948498.

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碩士<br>國立臺北大學<br>合作經濟學系<br>95<br>This thesis intends to study whether the maturity of Long Strangle strategy trading of TAIEX option has the prominent expiration effect and relation to the two markets, with TSE Stock Index as the object. And this study analyses that returns of portfolio of Long Strangle strategy trading and provides to investor who to adopted strategy. The research apply GARCH（1,1） Model and inject dummy variable of expiration effect, the sample period of this research is from Oct, 2003 to Sep, 2006, 747 daily-record in total as data. The empirical results are briefly described

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Liu, Wang-Yi, and 劉王譯. "An Empirical Study on the Degree of Smile across Different Time to Expiration — Evidence from Taiwan Stock Index Option." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/44060810174268204756.

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碩士<br>朝陽科技大學<br>財務金融系碩士班<br>95<br>Taiwan stock index option has already become the most popular financial derivative for hedgers and investors. The most well-known method for the price options is the Black & Scholes model (1973). One can use the Black & Scholes formula to deduce the implied volatility of the underlying asset. The implied volatility has a special characteristic; that is the Smile Effect, resulting from the changes of the different option prices. Bollen & Whaley (2004) proposed a method of using the delta instead of the traditional moneyness to categorize the option data because

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