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dc.creatorFeng, Haoqi, 1983-
dc.date.accessioned2010-11-12T14:50:31Z
dc.date.accessioned2010-11-12T14:50:36Z
dc.date.available2010-11-12T14:50:31Z
dc.date.available2010-11-12T14:50:36Z
dc.date.created2010-05
dc.date.issued2010-11-12
dc.date.submittedMay 2010
dc.identifier.urihttp://hdl.handle.net/2152/ETD-UT-2010-05-942
dc.descriptiontext
dc.description.abstractUnder 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.mimetypeapplication/pdf
dc.language.isoeng
dc.subjectOption returns
dc.subjectMoneyness
dc.subjectRisk
dc.subjectRegression
dc.titleQuantification of stock option risks and returns
dc.date.updated2010-11-12T14:50:37Z
dc.description.departmentMathematics
dc.type.genrethesis*
thesis.degree.departmentMathematics
thesis.degree.disciplineStatistics
thesis.degree.grantorUniversity of Texas at Austin
thesis.degree.levelMasters
thesis.degree.nameMaster of Science in Statistics


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