Related Books
Language: en
Pages: 46
Pages: 46
Type: BOOK - Published: 2017 - Publisher:
We compile option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying 'extreme value theory', and t
Language: en
Pages: 178
Pages: 178
Type: BOOK - Published: 2010 - Publisher:
There are many measures to price an option. This dissertation investigates a risk-adjusted measure to price the option with an alternative numeraire that retain
Language: en
Pages: 18
Pages: 18
Type: BOOK - Published: 2019 - Publisher:
In this study, we investigate how useful the information content of out-of-the-money S&P 500 index call options is to predict the size and direction of the unde
Language: en
Pages: 61
Pages: 61
Type: BOOK - Published: 2014 - Publisher:
I investigate the relation between option prices and daily stock return serial correlation. I demonstrate that the variance ratio, calculated as the ratio of re
Language: en
Pages:
Pages:
Type: BOOK - Published: 2012 - Publisher:
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due