Bid-ask spreads and asymmetry of option prices:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2008
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 118 S. graph. Darst. 21 cm |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035502716 | ||
| 003 | DE-604 | ||
| 005 | 20100315 | ||
| 007 | t | ||
| 008 | 090522s2008 gw d||| m||| 00||| eng d | ||
| 015 | |a 09,H03,0401 |2 dnb | ||
| 016 | 7 | |a 992569834 |2 DE-101 | |
| 035 | |a (OCoLC)314798137 | ||
| 035 | |a (DE-599)DNB992569834 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE | ||
| 049 | |a DE-384 |a DE-945 |a DE-703 | ||
| 082 | 0 | |a 332.632283 |2 22/ger | |
| 084 | |a QK 650 |0 (DE-625)141674: |2 rvk | ||
| 084 | |a 330 |2 sdnb | ||
| 100 | 1 | |a Beygelman, Raisa |d 1979- |e Verfasser |0 (DE-588)13711463X |4 aut | |
| 245 | 1 | 0 | |a Bid-ask spreads and asymmetry of option prices |c vorgelegt von Raisa Beygelman |
| 264 | 1 | |c 2008 | |
| 300 | |a 118 S. |b graph. Darst. |c 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Frankfurt am Main, Univ., Diss., 2008 | ||
| 650 | 7 | |a Bid-Ask Spread |2 stw | |
| 650 | 7 | |a Deutschland |2 stw | |
| 650 | 7 | |a Index-Futures |2 stw | |
| 650 | 7 | |a Optionspreistheorie |2 stw | |
| 650 | 7 | |a Schätzung |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 0 | 7 | |a Spread |0 (DE-588)4265331-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Optionspreis |0 (DE-588)4115453-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Briefkurs |0 (DE-588)4352680-9 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Optionspreis |0 (DE-588)4115453-8 |D s |
| 689 | 0 | 1 | |a Spread |0 (DE-588)4265331-9 |D s |
| 689 | 0 | 2 | |a Briefkurs |0 (DE-588)4352680-9 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017558910&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-017558910 | ||
Datensatz im Suchindex
| _version_ | 1804139122345902080 |
|---|---|
| adam_text | Titel: Bid-ask spreads and asymmetry of option prices
Autor: Beygelman, Raisa
Jahr: 2008
Contents
1 Introduction and Motivation 10
2 Directions of Transactions 15
2.1 Setup and Results.............................. 15
2.2 Conclusion.................................. 21
3 Option Pricing Models and Model Risk 22
3.1 Option Pricing Models - An Overview................... 23
3.2 Model Performance Under Asymmetry of Option Prices......... 28
3.3 Conclusion.................................. 34
4 The Model to Identify True Option Prices 36
4.1 The Model of Norden............................ 37
4.2 Observation Error in the Underlying Prices................ 41
4.3 Non-Synchronicity of Option Prices.................... 44
4.3.1 Robustness Cheeks......................... 51
4.4 Conclusion.................................. 51
5 The Empirical Data Set 53
3
4 CONTENTS
6 Empirical Analysis of the Location Parameters °°
6.1 Location Parameters and Option Characteristics............. 1
6.2 Location Parameters and Time of the Day................ 66
6.3 Time Series of the Location Parameters.................. 67
6.4 Location Parameters and Market Variables................ 69
6.5 Conclusion.................................. 73
7 Performance of Option Pricing Models 7 *
7.1 In-Sample Pricing Performance...................... 7
7.2 Out-of-Saraple Pricing Performance.................... 77
7.3 Regression Analysis of the Out-of-Sample Pricing Errors........ 80
7.4 Hedging Performance............................ S3
7.5 Conclusion.................................. 6
8 Alternative Approach 87
8.1 Moneyness Dependent Location Parameters ............... $7
8.2 Alternative Estimation of Location Parameters.............. 89
8.3 Simulation Studies ............................. 91
8.3.1 Study I - No Model Risk, Market frictions Present, Estimation
Using Mid Quotes.......................... 95
8.3.2 Study II - Model Risk, No Market frictions ........... 98
8.3.3 Study 111 - Model Risk, Market Rrictions Present, Estimation
Using Mid Quotes.......................... 100
8.3.4 Study IV - Model Risk, Market Frictions Present, Estimation
Using TVue Prices.......................... 102
CONTENTS 5
8.4 Comparison of Two Approaches to Estimate the True Option Prices . . 100
8.5 Conclusion.................................. 107
9 Summary and Outlook 109
Bibliography 111
A Option Pricing Formula in the BCC Model 115
List of Figures
4.1 Non-Synchronically Observed Option Prices............... 45
6.1 Time Series of the Location Parameter 6................. 68
8.1 Quadratic Function for 0 Compared to the Values in the Model of Norden 88
8.2 Structure of Simulation Studies...................... 93
8.3 Relationship Between i and Estimated /i3, Oj and Pricing Errors in
Case of No Model Risk, Present Market Frictions and Estimation Using
Mid Quotes................................. 98
8.4 True vs. Estimated Location Parameters................. 105
List of Tables
2.1 Trade Parameters of Call Options..................... 18
2.2 Trade Parameters of Put Options..................... 19
3.1 Estimated Variance and Pricing Errors of the BS Model......... 32
3.2 Estimated Parameters and Pricing Errors of the SJ model....... 32
3.3 Estimated Pricing Errors of the SJ and SV Models ........... 34
4.1 Estimated Location Parameters...................... 43
4.2 Estimation Results of the Model of Norden and the Extended Model . 50
5.1 Data - Call Options............................. 55
5.2 Data - Put Options............................. 5C
5.3 Put-Call Pairs................................ 58
5.4 Data Fragmented by Time of the Day................... 59
6.1 Estimated Location Parameters - Whole Sample............. 62
6.2 Estimated Location Parameters For Different Moneyness Groups .... 63
6.3 Estimated Location Parameters For Different Maturity Groups..... 64
6.4 Estimated Location Parameters Depending on Time of Day....... 66
6.5 Dependence of 0 on Market Parameters.................. 70
7
LIST OF TABLES
6.6 Dependence of 7 on Market Parameters.................. 71
7.1 In-Sample Pricing Errors in BS, SJ and SV Models for Different Scenarios 78
7.2 In-Sample Pricing Errors in BS, SJ and SV Models for Different Scenar-
ios - Whole Sample............................. 79
7.3 Out-Of-Sample Pricing Errors in BS, SJ and SV Models for Different
Scenarios - Whole Sample......................... 80
7.4 Dependence of Out-Of-Sample Errors on Market Variables....... 82
7.5 Hedging Errors in BS, SJ and SV Models for Different Scenarios - Whole
Sample.................................... 85
8.1 Parameter Distributions of the SJ Model in Case of No Model Risk,
Present Market Frictions and Estimation Using Mid Quotes ...... 9G
8.2 Correlation Between True Location Parameters and Estimated SJ Model
Parameters in Case of No Model Risk, Present Market Frictions and
Estimation Using Mid Quotes....................... 97
8.3 Parameter Distributions of the S J Model in Case of Model Risk and No
Market Frictions .............................. 99
8.4 Parameter Distributions of the SJ Model in Case of Model Risk, Present
Market Frictions and Estimation Using Mid Quotes...........101
8.5 Correlation Between True Location Parameters and Estimated SJ Model
Parameters in Case of Model Risk, Present Market Frictions and Esti-
mation Using Mid Quotes.........................102
8.6 Parameter Distributions of the SJ Model and of Estimated Location
Parameters in Case of Model Risk, Present Market Frictions and Esti-
mation Using True Prices .........................103
LIST OF TABLES 9
8.7 Correlation Between True Location Parameters and Estimated Loca-
tion and SJ Model Parameters in Case of Model Risk, Present Market
Frictions and Estimation Using ftue Prices................104
|
| any_adam_object | 1 |
| author | Beygelman, Raisa 1979- |
| author_GND | (DE-588)13711463X |
| author_facet | Beygelman, Raisa 1979- |
| author_role | aut |
| author_sort | Beygelman, Raisa 1979- |
| author_variant | r b rb |
| building | Verbundindex |
| bvnumber | BV035502716 |
| classification_rvk | QK 650 |
| ctrlnum | (OCoLC)314798137 (DE-599)DNB992569834 |
| dewey-full | 332.632283 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632283 |
| dewey-search | 332.632283 |
| dewey-sort | 3332.632283 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01828nam a2200505 c 4500</leader><controlfield tag="001">BV035502716</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100315 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">090522s2008 gw d||| m||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">09,H03,0401</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">992569834</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)314798137</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB992569834</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-703</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.632283</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 650</subfield><subfield code="0">(DE-625)141674:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Beygelman, Raisa</subfield><subfield code="d">1979-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)13711463X</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Bid-ask spreads and asymmetry of option prices</subfield><subfield code="c">vorgelegt von Raisa Beygelman</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2008</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">118 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">21 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Frankfurt am Main, Univ., Diss., 2008</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Bid-Ask Spread</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Deutschland</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Index-Futures</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Schätzung</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Theorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Spread</subfield><subfield code="0">(DE-588)4265331-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionspreis</subfield><subfield code="0">(DE-588)4115453-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Briefkurs</subfield><subfield code="0">(DE-588)4352680-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Optionspreis</subfield><subfield code="0">(DE-588)4115453-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Spread</subfield><subfield code="0">(DE-588)4265331-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Briefkurs</subfield><subfield code="0">(DE-588)4352680-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017558910&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017558910</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV035502716 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:39:04Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017558910 |
| oclc_num | 314798137 |
| open_access_boolean | |
| owner | DE-384 DE-945 DE-703 |
| owner_facet | DE-384 DE-945 DE-703 |
| physical | 118 S. graph. Darst. 21 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| record_format | marc |
| spelling | Beygelman, Raisa 1979- Verfasser (DE-588)13711463X aut Bid-ask spreads and asymmetry of option prices vorgelegt von Raisa Beygelman 2008 118 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2008 Bid-Ask Spread stw Deutschland stw Index-Futures stw Optionspreistheorie stw Schätzung stw Theorie stw Spread (DE-588)4265331-9 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf Briefkurs (DE-588)4352680-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreis (DE-588)4115453-8 s Spread (DE-588)4265331-9 s Briefkurs (DE-588)4352680-9 s b DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017558910&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Beygelman, Raisa 1979- Bid-ask spreads and asymmetry of option prices Bid-Ask Spread stw Deutschland stw Index-Futures stw Optionspreistheorie stw Schätzung stw Theorie stw Spread (DE-588)4265331-9 gnd Optionspreis (DE-588)4115453-8 gnd Briefkurs (DE-588)4352680-9 gnd |
| subject_GND | (DE-588)4265331-9 (DE-588)4115453-8 (DE-588)4352680-9 (DE-588)4113937-9 |
| title | Bid-ask spreads and asymmetry of option prices |
| title_auth | Bid-ask spreads and asymmetry of option prices |
| title_exact_search | Bid-ask spreads and asymmetry of option prices |
| title_full | Bid-ask spreads and asymmetry of option prices vorgelegt von Raisa Beygelman |
| title_fullStr | Bid-ask spreads and asymmetry of option prices vorgelegt von Raisa Beygelman |
| title_full_unstemmed | Bid-ask spreads and asymmetry of option prices vorgelegt von Raisa Beygelman |
| title_short | Bid-ask spreads and asymmetry of option prices |
| title_sort | bid ask spreads and asymmetry of option prices |
| topic | Bid-Ask Spread stw Deutschland stw Index-Futures stw Optionspreistheorie stw Schätzung stw Theorie stw Spread (DE-588)4265331-9 gnd Optionspreis (DE-588)4115453-8 gnd Briefkurs (DE-588)4352680-9 gnd |
| topic_facet | Bid-Ask Spread Deutschland Index-Futures Optionspreistheorie Schätzung Theorie Spread Optionspreis Briefkurs Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017558910&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT beygelmanraisa bidaskspreadsandasymmetryofoptionprices |