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Stock Returns and Option Prices. A Simulation Analysis

by Martin Georg Haas
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Current price ₹1,557.00
Original price ₹1,813.00
Original price ₹1,813.00
Original price ₹1,813.00
(-14%)
₹1,557.00
Current price ₹1,557.00

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Book cover type: Paperback
  • ISBN13: 9783346474872
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Publication Date:
  • Pages: 30
  • Original Price: USD 18.5
  • Language: English
  • Edition: N/A
  • Item Weight: 50 grams
  • BISAC Subject(s): Economics / General

Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.0, Zeppelin University Friedrichshafen, course: Advanced Financing, language: English, abstract: 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.

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