Stock Returns and Option Prices. A Simulation Analysis


Term Paper (Advanced seminar), 2018

24 Pages, Grade: 1.0


Abstract or Introduction

This paper is concerned with analyzing the basic determinants of option prices. These are the information derived from the underlying stock, namely the mean and the volatility of its returns. Therefore, this paper aims at answering the question, what influence stock return mean and volatility have on the respective option prices. This can be important to option traders trying to identify the stocks for which to trade options, by providing an understanding for the foundations of the option pricing and the information those prices provide.

To isolate these basic determinants from the other influences, described above as structural and institutional factors, a simulation study is conducted. Section 2 will provide the theoretical framework and simulation methodology for the study. Section 3 describes the used dataset and section 4 presents and discusses the results of the simulation.

Details

Title
Stock Returns and Option Prices. A Simulation Analysis
College
Zeppelin University Friedrichshafen
Course
Advanced Financing
Grade
1.0
Author
Year
2018
Pages
24
Catalog Number
V1043527
ISBN (eBook)
9783346474865
ISBN (Book)
9783346474872
Language
English
Tags
Finance, Options, Stocks, Simulation
Quote paper
Martin Georg Haas (Author), 2018, Stock Returns and Option Prices. A Simulation Analysis, Munich, GRIN Verlag, https://www.grin.com/document/1043527

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