Essays about: "equity options"

Showing result 1 - 5 of 46 essays containing the words equity options.

  1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    University essay from KTH/Matematik (Avd.)

    Author : Simon Wahlberg; [2022]
    Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

  3. 2. Going Public in Difficult Times - A Case Study on the Iridium Space SPAC

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fabian Binder; Devon Carbone; [2022]
    Keywords : Special purpose acquisition company SPAC ; Financial Crisis; Satellites;

    Abstract : This case study finds that a special purpose acquisition company (SPAC) was utilized by Iridium Communications (Iridium) as alternative equity financing when all other options had been eliminated. SPACs present certain problems with warrants and dilution, but they are flexible in structure. 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. Executive Options and Payout Policy in the 21st Century: A Study of Equity Incentives, Corporate Payout Policy, and the Effects of Disclosure Regulation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Amér; Jack Beckman; [2022]
    Keywords : Executive Equity-Incentives; Stock Options; Payout Policy; Free Cash Flow Problem;

    Abstract : In this paper, we examine the relationships between executive equity-incentives and corporate payout policy. Using data on S&P 1500 firms from 2000 to 2019, we find that firms with higher executive options have lower total payouts, but that this relationship is weaker than found in earlier literature. READ MORE

  6. 5. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gabriel Wannes; Nihat Anwar; [2021]
    Keywords : Political uncertainty; Options; Implied volatility; Sectors;

    Abstract : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. READ MORE