|
期权价格定价的建议解决方案
本文主要从对options prices-Suggested Solutions分析，由指导留学生论文中心策划组提供。是英文语种、Financial Management研究方向、不需要数据处理的本科课程论文，不需要盲审（博士或硕士生有这个需要），如有需求请联系本站论文中心或者提交相关文章的指导需求。 Questions: 1. Based on Swidler and Wilcox (2002), discuss to which extent banking equity options IV can explain default risk of financial institutions.
Hence, IV info can be used to monitor risk in financial services and forecast likelihood of banking crashes although results do not focus on crises events. Despite being a biased information predictor, IV beats traditional measures used to forecast stock returns and volatility even for banks. The results are valid over a reasonable time range and applicable to large financial institutions in the US. However, the research emphasizes these dynamics for three banks only. The use of daily information doesn¡¯t guarantee robustness of these results; other data frequencies (monthly, daily, or intra-day) can be used for confirmation. The interaction between size, leverage and other fundamental information is also important in explaining banking risks, implied volatility and bank default likelihood. [It is interesting to discuss also interaction between IV and CDS spreads, and the credit risk behaviour of financial institutions in light of option-based IV information related to equities.]
2. Based on Frijsn, Tallau and Tourani-Rad (2010), discuss how the AVX index can be employed by a firm doing business in Australia.
The nature and construction of the AVX index implies that the puts have more significant influence on index movements (i.e. puts have more weight in the index), confirming that AVX is an indicator of fear or bearish sentiment rather than optimism. A company doing business in Australia can look at this information, if AVX increases in value, from 1) a hedging perspective: a) financial hedging of firm systematic risk characteristics or b) when to opt out or temporarily shut down Australian operations if unfavorable conditions are on the way or 2) a forecasting perspective that can lead to a) benefiting from uncertainty due to superior market information or b) foreseeing timing of an economic downturn, adjusting firm fundamentals accordingly, and preparing for contagion from other markets, or 3) management of cash and reserves etc. to mitigate downside risk. Or 4) informed speculation about what¡¯s likely to happen to the market in the future up to the index maturity date (e.g. short selling the index or buying puts on the index or on securities that share similar risk characteristics [beta] as the index). If AVX is constant or decreases in value it indicates that investors are more optimistic about the future (e.g. better economic conditions, higher customer demand, or less uncertain future). The volatility of AVX might be important also. [Interesting question: should firms incorporate IV information in cost of equity based on multi-factor models? If so, how to incorporate such information? (e.g. beta of the options).]
3. Based on Chiras and Manaster (1978), discuss the accuracy of the Black-Scholes model in light of its implied variance features. Despite criticisms about the valuation model, Black-Scholes (BS) implied variance or volatility yields a reasonable level of prediction about stock returns and volatility behaviour. However, the BS model shows inaccuracies vis-¨¤-vis deep OTM options and options with long maturities (i.e. smiles or smirks). Ability to predict directions of stock prices movements can lead to the setup of trading strategies to benefit from superior or early information from options markets. One specific replicating strategy could have produced positive abnormal returns to investors but to what extent can this last under EMH or could be valid nowadays (i.e. considering transaction costs issues, speed of information, regulation etc.). [Interesting issue: the information contents of warrants in general and covered warrants in specific (i.e. these are priced according to the Black-Scholes setup¡)] * Critical analysis should be along the points below (similar rationale for the 2 other papers): Aims: . To examine the information content of a hybrid VIX-AVX specific to Australia . Compare the information efficiency of AVX vis-¨¤-vis GARCH historical volatility and Risk metrics. Research question: . Does the AVX contain important information about future stock returns and future volatility? Does AVX dominate backward looking forecasts (i.e. Garch and Risk metrics)? Methods, Findings and extensions: . Cross sectional analysis and multivariate analysis of daily returns using encompassing regressions . AVX generally dominates other proxies in and out of sample, all three can be used together depending on forecasting horizon. . Possible extensions: 1) to change data frequency to generalise findings further and deal with possible econometric downsides (e.g. use monthly data or intraday data might be cleaner from an econometric view point). 2) Contributions and implications: . Construction of new IV index for Australia AVX in line with VIX. . Useful for Australia stock market and comparable with other markets with IV type measures (US, UK, Netherlands, Belgium and Germany). . Study confirms information efficiency of implied volatility in an ¡°unexplored¡± market. . Important for risk prospects of companies with significant Australian market and economic exposure, and useful for financial and physical hedging predictions.
|
 |
|||
| 网站地图 |
