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Book Tests of Market Efficiency for American Call Options

Download or read book Tests of Market Efficiency for American Call Options written by Edward C. Blomeyer and published by . This book was released on 1980 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Testing the Efficiency of Indian Options Market

Download or read book Testing the Efficiency of Indian Options Market written by Anirban Ghatak and published by GRIN Verlag. This book was released on 2019-02-26 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: A, University of Calcutta, language: English, abstract: The present study is conducted to test the efficiency of Indian options market. Very few studies have been conducted to test the efficiency of Indian derivatives market and especially Indian options market. This study is essential for testing the price discovery of the Indian options market. This study is motivated by lack of evidence and fills this gap by providing hitherto unavailable evidence on efficiency of the Indian options market. The purpose of the study is to test the efficiency of Nifty stock options. The study is done using trading data for 1 month. Market efficiency is tested by examining the validity of the put-call parity and of the hedging strategy. Black-Scholes model of option pricing is used to determine the fair option prices in this study. In case of mispricing of options contracts, hedging test is conducted to ascertain whether above normal returns are possible by taking advantage of the mispricing. In hedging test returns are calculated after the trader closes his position in the spot market. These returns are then compared to risk-free returns. When transaction costs are not taken into account, the hedging returns were more than the risk free returns for some stocks which showed that the market is inefficient. But after transaction costs are considered these returns became negative and ascertained that the market is efficient. Put-call parity test in the absence of the transaction costs showed that options market is inefficient. However in the presence of these costs, the hypothesis of market efficiency is accepted. The present study will help to get useful insights so that the options markets can be made more efficient as healthy financial markets are backbone of any financially healthy country. Furthermore, financial markets should be efficient and efficiency helps to prevent any kind of frauds in the financial markets.

Book Tests for Options Market Efficiency

Download or read book Tests for Options Market Efficiency written by Tan How Joo and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Efficient Market Theory and Evidence

Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.

Book Theory of Rational Option Pricing

Download or read book Theory of Rational Option Pricing written by Robert C Merton and published by Legare Street Press. This book was released on 2022-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Book The Chicago Board Options Exchange

Download or read book The Chicago Board Options Exchange written by Thomas North Howard and published by . This book was released on 1974 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Capital Markets Fifth Edition

Download or read book Capital Markets Fifth Edition written by Frank J. Fabozzi and published by MIT Press. This book was released on 2015-10-23 with total page 1087 pages. Available in PDF, EPUB and Kindle. Book excerpt: The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk management. Over the last fifty years, an extensive array of instruments for financing, investing, and controlling risk has become available in financial markets, with demand for these innovations driven by the needs of investors and borrowers. The recent financial crisis offered painful lessons on the consequences of ignoring the risks associated with new financial products and strategies. This substantially revised fifth edition of a widely used text covers financial product innovation with a new emphasis on risk management and regulatory reform. Chapters from the previous edition have been updated, and new chapters cover material that reflects recent developments in financial markets. The book begins with an introduction to financial markets, offering a new chapter that provides an overview of risk—including the key elements of financial risk management and the identification and quantification of risk. The book then covers market participants, including a new chapter on collective investment products managed by asset management firms; the basics of cash and derivatives markets, with new coverage of financial derivatives and securitization; theories of risk and return, with a new chapter on return distributions and risk measures; the structure of interest rates and the pricing of debt obligations; equity markets; debt markets, including chapters on money market instruments, municipal securities, and credit sensitive securitized products; and advanced coverage of derivative markets. Each chapter ends with a review of key points and questions based on the material covered.

Book Specific Form Tests of Efficiency of the Stock Options Market

Download or read book Specific Form Tests of Efficiency of the Stock Options Market written by Goran Andersson and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It is not possible to reject the hypothesis of efficient markets by using general form tests involving boundary conditions. Specific form tests performed in this paper imply that a mispriced option is found by comparing a theoretical price to the market price. A theoretically riskless position in this option and/or this stock is created. The return on this position is evaluated.

Book Options Markets

Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.

Book Tests of Option Market Efficiency

Download or read book Tests of Option Market Efficiency written by Ser-Huang Poon and published by . This book was released on 1999 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Test of Market Efficiency

Download or read book Test of Market Efficiency written by JinKyoung Kim and published by . This book was released on 1995 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Understanding Options

Download or read book Understanding Options written by Rob Quail and published by John Wiley & Sons. This book was released on 1995-02-28 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: It's not hard to understand why options trading continues to growin popularity, especially among sophisticated investors with largestock portfolios. Options are a cheaper and therefore, inherentlyless risky way of speculating on the price movements of stocks orother under-lying goods, yet, due to their volatility, they providemore price action per dollar than do stocks. And, when traded inconjunction with stock portfolios, options can significantlyenhance an investor's ability to manipulate the risk and returncharacteristics of their entire investment. Yet, despite these andother advantages of options, many investors shy away from thishighly lucrative type of speculation because of the seemingimpenetrability of many of its underlying concepts and technicalprinciples. Now in a book that demystifies options for financial professionals,Professor Robert W. Kolb, one of the nation's leading authoritieson the subject, provides readers with a solid grounding in theprinciples and practices of options trading. An excellent resourcefor investors who need to quickly get up to speed in options,Understanding Options offers a balanced presentation that buildsswiftly from the most basic concepts and terms to advanced tradingstrategies and techniques. Written in plain English and filled withreal-life examples and case studies, it schools readers in: * All essential terms, concepts, principles, and practices * Popular trading techniques and their payoffs * Option strategies * Option hedging * Formal trading models, including the Binomial and Merton models * Options on stock indexes, foreign currency, and futures * Option pricing in both the American and European markets * The options approach to corporate securities * And much more Concise yet comprehensive, authoritative yet highly accessible,Understanding Options gives you everything you need to feel rightat home in the lucrative world of options. Comprehensive, practical, authoritative--the fastest, mostaccessible route to the lucrative world of options From the basics of what an option is to advanced techniques forprofiting from options in a variety of markets, UnderstandingOptions covers all the bases. Written by a leading internationalauthority on options trading, this practical, hands-on guide offersdetailed, step-by-step coverage of option trading techniques andtheir payoffs, option strategies, European and American optionpricing, option hedging, and much more. It also explores options onstock indexes, foreign currency, and futures, and takes a closelook at the options approach to corporate securities. A concise, yet comprehensive, introduction to options for financialprofessionals * Gets you quickly up and running with all the essential knowledgeyou need to break into the options markets * Featuring a balanced presentation that moves swiftly from basicterms and concepts to advanced trading models * Packed with easy-to-follow examples and case studies that lucidlyillustrate all points covered

Book Efficiency and Anomalies in Stock Markets

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.