Essays about: "stock option thesis"

Showing result 1 - 5 of 56 essays containing the words stock option thesis.

1. 1. Option Expiration Day Impact on Underlying Stock Return- A Study on the Swedish Option Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Alisa Penkina; Alan Karaduman Sorsenger; Sirwan Kakai; [2023]
   Keywords : Option Market; Open Interest; Stock Return; Delta Hedging; Option Expiration Day; Business and Economics;

   Abstract : Research questions: Is there significant change in the stock return on option expiration dates in the underlying stock? Does the net open interest have an effect on the return of the underlying stock on option expiration day? Purpose: The purpose of the bachelor's thesis is to study whether there is a significant difference in the stock returns on option expiration dates in relation to the net open interest of the underlying stocks within the OMXS30 index. Methodology: A quantitative study using a deductive approach to statistically describe the relationship between the daily stock return with open interest and traded volume. READ MORE

3. 2. Investigation of portfolio strategies by means of simulation

   University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

   Author : Alexander Schälin; [2022-07-01]
   Keywords : Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

   Abstract : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. READ MORE

4. 3. Options and analysts : A study on the relationship between option implied volatility and analyst consensus recommendations

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Ludwig Flank Zetterström; Krenare Salihu; [2022]
   Keywords : Finance; options; option implied volatility; stock recommendations; revisions; information asymmetries;

   Abstract : The purpose of our thesis is to examine the relationship between option implied volatility and analyst consensus recommendation revisions. We offer a Swedish perspective on the growing popularity of equity options and its relationship with different stock market participants and returns. READ MORE

5. 4. LSTM Feature Engineering Through Time Series Similarity Embedding

   University essay from Linköpings universitet/Institutionen för datavetenskap

   Author : Sebastian Bångerius; [2022]
   Keywords : Embedding; time series; LSTM; feature engineering; DTW; correlation; prediction;

   Abstract : Time series prediction has many applications. In cases with simultaneous series (like measurements of weather from multiple stations, or multiple stocks on the stock market)it is not unlikely that these series from different measurement origins behave similarly, or respond to the same contextual signals. READ MORE

6. 5. Techno-economic study of second-life EV batteries as alternative energy storage and comparison with lead-acid and new Li-ion batteries in off-grid PV systems

   University essay from Högskolan Dalarna/Institutionen för information och teknik

   Author : Vijay Arumugam; [2022]
   Keywords : Second-life EV batteries; PV off-grid systems; HOMER; comparison of batteries in off-grid systems; repurpose the retired EV batteries.;

   Abstract : The global EV stock is expected to increase from 7.2 million in 2019 to nearly 140 million vehicles by 2030. So, the demand for the battery also increases due to the increase in the number of EVs. READ MORE