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dc.contributor.advisorGreenberg, Betsy S.en
dc.creatorFeng, Haoqi, 1983-en
dc.date.accessioned2010-11-12T14:50:31Zen
dc.date.accessioned2010-11-12T14:50:36Zen
dc.date.available2010-11-12T14:50:31Zen
dc.date.available2010-11-12T14:50:36Zen
dc.date.issued2010-05en
dc.date.submittedMay 2010en
dc.identifier.urihttp://hdl.handle.net/2152/ETD-UT-2010-05-942en
dc.descriptiontexten
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.en
dc.format.mimetypeapplication/pdfen
dc.language.isoengen
dc.subjectOption returnsen
dc.subjectMoneynessen
dc.subjectRisken
dc.subjectRegressionen
dc.titleQuantification of stock option risks and returnsen
dc.date.updated2010-11-12T14:50:37Zen
dc.contributor.committeeMemberBrockett, Patrick L.en
dc.description.departmentMathematicsen
dc.type.genrethesisen
thesis.degree.departmentMathematicsen
thesis.degree.disciplineStatisticsen
thesis.degree.grantorUniversity of Texas at Austinen
thesis.degree.levelMastersen
thesis.degree.nameMaster of Science in Statisticsen


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