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Essays on options and volatility.

Nandi, Saikat.

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Essays on options and volatility.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Essays on options and volatility./
作者:	Nandi, Saikat.
面頁冊數:	78 p.
附註:	Chairman: Kerry Back.
Contained By:	Dissertation Abstracts International56-11A.
標題:	Economics, History. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9606108

Essays on options and volatility.
Nandi, Saikat.

Essays on options and volatility. - 78 p.

Chairman: Kerry Back.

Thesis (Ph.D.)--Washington University, 1995.

The first chapter of the dissertation develops a model of asymmetric information, in which an investor has information regarding the future variance of the price process of an asset but does not know the future asset price. It is shown that there exists an equilibrium in which the investor trades an option on the asset. I derive expressions for the equilibrium option price, price pressure parameter, trading strategy of the investor and the expectation of the future volatility on the information set of uninformed traders. Also the depth of the option market is smaller when there is more uncertainty about the variance of the underlying asset. This result is consistent with my empirical finding that spreads (which we use as a proxy for depth) on short-term, near-the-money options (traded in Chicago Board Options Exchange) are positively related to the variance of conditional variance (modeled as GARCH 1-1) of the returns of the underlying stocks.Subjects--Topical Terms:

1017418
Economics, History.

Essays on options and volatility.
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245 1 0 $a Essays on options and volatility.
300 $a 78 p.
500 $a Chairman: Kerry Back.
500 $a Source: Dissertation Abstracts International, Volume: 56-11, Section: A, page: 4504.
502 $a Thesis (Ph.D.)--Washington University, 1995.
520 $a The first chapter of the dissertation develops a model of asymmetric information, in which an investor has information regarding the future variance of the price process of an asset but does not know the future asset price. It is shown that there exists an equilibrium in which the investor trades an option on the asset. I derive expressions for the equilibrium option price, price pressure parameter, trading strategy of the investor and the expectation of the future volatility on the information set of uninformed traders. Also the depth of the option market is smaller when there is more uncertainty about the variance of the underlying asset. This result is consistent with my empirical finding that spreads (which we use as a proxy for depth) on short-term, near-the-money options (traded in Chicago Board Options Exchange) are positively related to the variance of conditional variance (modeled as GARCH 1-1) of the returns of the underlying stocks.
520 $a The second chapter of the dissertation empirically examines the performance of a stochastic volatility model which gives closed form solution for option prices and hedge ratios, in terms of pricing and hedging options on the S&P 500 index. It is found that allowing volatility to be stochastic improves the fit between model and market option prices more than could be achieved by a time varying, deterministic volatility model. The stochastic volatility model also yields lower variance in a minimum variance hedging setup. However, the magnitude of correlation between the returns of the minimum variance hedge portfolios of the two models is low, indicating that these models hedge quite differently.
590 $a School code: 0252.
650 4 $a Economics, History. $3 1017418
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710 2 0 $a Washington University. $3 1250147
773 0 $t Dissertation Abstracts International $g 56-11A.
790 $a 0252
790 1 0 $a Back, Kerry, $e advisor
791 $a Ph.D.
792 $a 1995
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9606108