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You searched for subject:(Moneyness). Showing records 1 – 2 of 2 total matches.

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University of Texas – Austin

1. Feng, Haoqi, 1983-. Quantification of stock option risks and returns.

Degree: Mathematics, 2010, University of Texas – Austin

Under mild assumptions, the expected returns of call options increase as the strike price becomes higher. Two ways to define option moneyness are the ratio of strike price to stock price (K/S ratio) and log(K/S)/σ. This paper examines the positive relationship between the call option returns and the correspondent risks by establishing linear models regarding the option returns and the two ratios. Furthermore, these ratios can be used to predict the option returns based on the regression models in practice. Advisors/Committee Members: Greenberg, Betsy S. (advisor), Brockett, Patrick L. (committee member).

Subjects/Keywords: Option returns; Moneyness; Risk; Regression

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Feng, Haoqi, 1. (2010). Quantification of stock option risks and returns. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2010-05-942

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Feng, Haoqi, 1983-. “Quantification of stock option risks and returns.” 2010. Thesis, University of Texas – Austin. Accessed February 27, 2017. http://hdl.handle.net/2152/ETD-UT-2010-05-942.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Feng, Haoqi, 1983-. “Quantification of stock option risks and returns.” 2010. Web. 27 Feb 2017.

Vancouver:

Feng, Haoqi 1. Quantification of stock option risks and returns. [Internet] [Thesis]. University of Texas – Austin; 2010. [cited 2017 Feb 27]. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-942.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Feng, Haoqi 1. Quantification of stock option risks and returns. [Thesis]. University of Texas – Austin; 2010. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-942

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidad Nacional de Colombia

2. Fonseca Diaz, Ivan Alexis. Partición de la volatilidad para series de precios bursátiles: una nueva aproximación.

Degree: 2016, Universidad Nacional de Colombia

Subjects/Keywords: Opciones; Acciones; Retornos; Volatilidad; In the money; Out the money; Moneyness; Options; Stock; Return; Volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Fonseca Diaz, I. A. (2016). Partición de la volatilidad para series de precios bursátiles: una nueva aproximación. (Thesis). Universidad Nacional de Colombia. Retrieved from http://www.bdigital.unal.edu.co/55165/ ; http://www.bdigital.unal.edu.co/55165/7/ivanalexisfonsecad.2016.pdf

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Fonseca Diaz, Ivan Alexis. “Partición de la volatilidad para series de precios bursátiles: una nueva aproximación.” 2016. Thesis, Universidad Nacional de Colombia. Accessed February 27, 2017. http://www.bdigital.unal.edu.co/55165/ ; http://www.bdigital.unal.edu.co/55165/7/ivanalexisfonsecad.2016.pdf.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Fonseca Diaz, Ivan Alexis. “Partición de la volatilidad para series de precios bursátiles: una nueva aproximación.” 2016. Web. 27 Feb 2017.

Vancouver:

Fonseca Diaz IA. Partición de la volatilidad para series de precios bursátiles: una nueva aproximación. [Internet] [Thesis]. Universidad Nacional de Colombia; 2016. [cited 2017 Feb 27]. Available from: http://www.bdigital.unal.edu.co/55165/ ; http://www.bdigital.unal.edu.co/55165/7/ivanalexisfonsecad.2016.pdf.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Fonseca Diaz IA. Partición de la volatilidad para series de precios bursátiles: una nueva aproximación. [Thesis]. Universidad Nacional de Colombia; 2016. Available from: http://www.bdigital.unal.edu.co/55165/ ; http://www.bdigital.unal.edu.co/55165/7/ivanalexisfonsecad.2016.pdf

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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