Quantification of stock option risks and returns


Quantification of stock option risks and returns

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dc.contributor.advisor Greenberg, Betsy S.
dc.creator Feng, Haoqi, 1983-
dc.date.accessioned 2010-11-12T14:50:31Z
dc.date.accessioned 2010-11-12T14:50:36Z
dc.date.available 2010-11-12T14:50:31Z
dc.date.available 2010-11-12T14:50:36Z
dc.date.created 2010-05
dc.date.issued 2010-11-12
dc.date.submitted May 2010
dc.identifier.uri http://hdl.handle.net/2152/ETD-UT-2010-05-942
dc.description.abstract 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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.subject Option returns
dc.subject Moneyness
dc.subject Risk
dc.subject Regression
dc.title Quantification of stock option risks and returns
dc.date.updated 2010-11-12T14:50:37Z
dc.contributor.committeeMember Brockett, Patrick L.
dc.description.department Mathematics
dc.type.genre thesis
dc.type.material text
thesis.degree.department Mathematics
thesis.degree.discipline Statistics
thesis.degree.grantor University of Texas at Austin
thesis.degree.level Masters
thesis.degree.name Master of Science in Statistics

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