Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Mispriced Index Option Portfolios
Download Mispriced Index Option Portfolios full books in PDF, epub, and Kindle. Read online Mispriced Index Option Portfolios ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Mispriced Index Option Portfolios by : George M. Constantinides
Download or read book Mispriced Index Option Portfolios written by George M. Constantinides and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most months over 1990-2013. Dominance is prevalent when the ATM-IV is high, right skew is low, and option maturity is short. The portfolios include mostly calls and positions are overwhelmingly short. Similar results obtain with options on the CAC and DAX indices. The results are explained neither by priced factors nor a non-monotonic stochastic discount factor.
Book Synopsis Stochastic Dominance Option Pricing by : Stylianos Perrakis
Download or read book Stochastic Dominance Option Pricing written by Stylianos Perrakis and published by Springer. This book was released on 2019-05-03 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Book Synopsis The Index Option Or the Portfolio? by : Feifan Wu
Download or read book The Index Option Or the Portfolio? written by Feifan Wu and published by . This book was released on 2017 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article theoretically compares the index option with the corresponding-weight portfolio of individual options on the index's constituent stocks in different cases to discuss when and whether the index option is worth purchasing. Theoretically we prove that in the normal cases when the expected return rate of the index is larger than the risk-less interest rate, the index option is more worth purchasing than the portfolio for call options, but the index option is less worth purchasing than the portfolio for put options. To give the consequences, we prove the monotonic relations between correlations and an index option's expected option return. The relations show that in the normal cases, lower correlations make the index call options more worth purchasing. However, unlike the usual perception, lower correlations make the actively traded index put options less worth purchasing. By applying mathematical analysis methods, the consequences are proved uniformly for any correlations and any strike level for all in-the-money, at-the-money, out-of-the-money options. We also prove the consequences of the cases when the expected return rate of the index is lower than or equal to the risk-less interest rate. The consequences are also uniform. The monotonic relations can also be generated to the monotonic relations between the volatility and a general option's expected option return. Our results can also explain and provide theoretical evidences on empirical findings in the real option market.
Book Synopsis Portfolio Policies with Stock Options by : Yuliya Plyakha
Download or read book Portfolio Policies with Stock Options written by Yuliya Plyakha and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the partial equilibrium portfolio optimization problem for a myopic CRRA investor who can trade options on individual stocks. Applying the parametric portfolio approach of Brandt, Santa-Clara, and Valkanov (forthcoming) to derivatives, we show that options characteristics (such as implied volatility and IV smile skew) convey information about the mispricing in the option portfolios. We take the data on all US-traded options to build characteristic-based factor portfolios of options. An investor uses them in addition to the market portfolio and Fama and French (1992) factors in her utility maximization. Surprisingly, portfolios based on the IV smile skew turn out to be less important than IV-based portfolios, and factor portfolios from call options are in general more interesting for an investor than the factors from puts. Market frictions in the form of stock shortsale constraints are compensated by the use of options, and having options with no stock shortsales allowed may be better than having only stocks with shortsales permitted. Monthly rebalancing leads to extreme transaction costs for an investor facing the full bid-ask spread, providing limits to arbitrage interpretation of the documented mispricing in the option portfolios.
Book Synopsis Index Options & Futures by : Donald Luskin
Download or read book Index Options & Futures written by Donald Luskin and published by Wiley. This book was released on 1987-04-06 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Options and futures have become indispensable strategic tools for almost every type of investor, from individuals to blue-chip institutions. This comprehensive guide is an all-purpose atlas of the world of index options and futures. It answers the many questions investors have about them, covering all stock index futures contracts, how they differ from one another, and how managers can profit by knowing those differences. The book shows how to use them to improve performance and lower transaction costs; earn riskless arbitrage profits; create a ``portfolio insurance'' policy, simultaneously lower risk and enhance yield; and much more. Explains the science of options and futures valuation in a common-sense style, and uses realistic examples to illustrate their strategic applications. The book is a wealth of practical advice for readers who want to set up, run, and evaluate a variety of trading strategies.
Book Synopsis Stock Index Option Betas and Their Use in Managing the Systematic Risk of Stock Portfolios by : Cook, Jr. (John P.)
Download or read book Stock Index Option Betas and Their Use in Managing the Systematic Risk of Stock Portfolios written by Cook, Jr. (John P.) and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mispricing of SetP 500 Index Options by :
Download or read book Mispricing of SetP 500 Index Options written by and published by . This book was released on 2008 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Indices, Index Funds And ETFs by : Michael I. C. Nwogugu
Download or read book Indices, Index Funds And ETFs written by Michael I. C. Nwogugu and published by Springer. This book was released on 2019-03-09 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.
Book Synopsis Trading Index Options by : James B. Bittman
Download or read book Trading Index Options written by James B. Bittman and published by McGraw Hill Professional. This book was released on 1998-06-21 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed and written for active traders who are interested in practical information that can improve their results, Trading Index Options offers tried-and-true techniques without a lot of theory and math. Bittman provides traders with the know-how to evaluate practical situations and manage positions. Among the key features: the basics of index options, including various spreads; how to match strategies with forecasts; alternatives for losing positions; the importance of price behavior and volatility. A windows-based software program that provides multiple option pricing and graphing is included in the package.
Download or read book Options written by Peter Ritchken and published by Addison-Wesley Educational Publishers. This book was released on 1987 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Derivatives Markets and Analysis by : R. Stafford Johnson
Download or read book Derivatives Markets and Analysis written by R. Stafford Johnson and published by John Wiley & Sons. This book was released on 2017-08-21 with total page 1001 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, informative guide to derivatives in the real world Derivatives is an exposition on investments, guiding you from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and models. As part of Bloomberg Financial's three part series on securities, Derivatives focuses on derivative securities and the functionality of the Bloomberg system with regards to derivatives. You'll develop a tighter grasp of the more subtle complexities involved in the evaluation, selection, and management of derivatives, and gain the practical skillset necessary to apply your knowledge to real-world investment situations using the tools and techniques that dominate the industry. Instructions for using the widespread Bloomberg system are interwoven throughout, allowing you to directly apply the techniques and processes discussed using your own data. You'll learn the many analytical functions used to evaluate derivatives, and how these functions are applied within the context of each investment topic covered. All Bloomberg information appears in specified boxes embedded throughout the text, making it easy for you to find it quickly when you need or, or easily skip it in favor of the theory-based text. Managing securities in today's dynamic and innovative investment environment requires a strong understanding of how the increasing variety of securities, markets, strategies, and methodologies are used. This book gives you a more thorough understanding, and a practical skillset that investment managers need. Understand derivatives strategies and models from basic to advanced Apply Bloomberg information and analytical functions Learn how investment decisions are made in the real world Grasp the complexities of securities evaluation, selection, and management The financial and academic developments of the past twenty years have highlighted the challenge in acquiring a comprehensive understanding of investments and financial markets. Derivatives provides the detailed explanations you've been seeking, and the hands-on training the real world demands.
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Book Synopsis Active Index Investing by : Steven A. Schoenfeld
Download or read book Active Index Investing written by Steven A. Schoenfeld and published by John Wiley & Sons. This book was released on 2011-08-04 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over three decades, indexing has become increasingly accepted by both institutional and individual investors. Index benchmarks and investment products that track them have been a driving force in the transformation of investment strategy from art to science. Yet investors’ understanding of the sophistication of this burgeoning field has lagged the growing use of index products. Active Index Investing is the definitive guide to how indexes are constructed, how index-based portfolios are managed, and how the world’s most sophisticated investors use index-based strategies to enhance performance, reduce costs and minimize the risks of investing. Active Index Investing provides a comprehensive overview of (1) the investment theories that are the foundation of index based investing, (2) best practices in benchmark construction, (3) the growing world of index-based investment vehicles, (4) cutting-edge index portfolio management techniq ues and (5) the myriad ways investors can and do capture the benefits of indexing. Active Index Investing has a unique format that captures the views and perspectives of over 40 of the investment industry’s leading experts and practitioners, while maintaining a holistic view of this complex subject matter. In addition to the Appendix and Glossary within the book, it features an E-ppendix, available at www.IndexUniverse.com
Download or read book Options written by Stewart Hodges and published by Manchester University Press. This book was released on 1992 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Systematic Options Trading by : Vadim Tsudikman
Download or read book Systematic Options Trading written by Vadim Tsudikman and published by FT Press. This book was released on 2010-08-11 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sophisticated options traders need systematic, reliable approaches for identifying the best option combinations, underlying assets, and strategies. This book makes these approaches available for the first time. Leading-edge traders and researchers Sergey Izraylevich and Vadim Tsudikman treat the option market as a whole: an unlimited set of trading variants composed of all option combinations that can be constructed at any specific time moment (using all possible strategies and underlying assets). They introduce a system that permits thorough analysis and comparison of many option combinations in terms of both expected profitability and potential risk. For the first time, they formalize and classify more than a dozen criteria intended to select preferable trading alternatives from a vast quantity of potential opportunities, and show how to apply multiple valuation criteria concurrently to select the best possible trades. By applying these principles consistently, traders can systematically identify subtle price distortions using proven statistical parameters. They can gain a clear and consistent advantage over competing traders, transforming option trading into a continuous process of profit generation with tightly controllable parameters of risk and profitability.
Book Synopsis Advanced Option Trading by : Sankar Srinivasan
Download or read book Advanced Option Trading written by Sankar Srinivasan and published by Srinivasan Sankara Narayanan. This book was released on 2023-07-20 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Advamced Option Trading" is your go-to guide, perfect for both beginners and seasoned traders. This easy-to-understand book demystifies the complexities of options trading, offering practical strategies to boost your confidence in the market. We focus on simplicity, making sure you grasp crucial concepts like call options, put options, risk management, and technical analysis. Dive into a wealth of strategies suited for various market conditions—whether it's a bullish, bearish, or neutral outlook. Learn the ins and outs of buying calls and puts, selling covered calls, creating vertical spreads, and executing straddles and strangles. Our step-by-step instructions, paired with clear entry and exit points, empower you to maximize profits while effectively managing risk. Take your trading to the next level by incorporating technical and fundamental analysis. Uncover popular technical indicators, spot support and resistance levels, and analyze chart patterns. Evaluate company fundamentals, review financial statements, and leverage industry trends to make well-informed trading decisions. Recognizing the role of emotions and psychology in successful trading, our book offers valuable guidance on managing fear, greed, and maintaining discipline. Develop a resilient mindset to confidently navigate the challenges of options trading. Packed with real-life examples, case studies, and practical tips, "Advanced Option Trading" equips you with the tools, knowledge, and strategies needed for success. Whether you're a newcomer or an experienced trader, this book will elevate your options trading skills. Written by Sankar Srinivasan, a Certified Market Professional with over 20 years of experience at the National Stock Exchange of India.
Book Synopsis The Efficient Market Theory and Evidence by : Andrew Ang
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
