Sökning: "Option expiration effect"

Hittade 4 uppsatser innehållade orden Option expiration effect.

1. 1. Option Expiration Day Impact on Underlying Stock Return- A Study on the Swedish Option Market

   Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Alisa Penkina; Alan Karaduman Sorsenger; Sirwan Kakai; [2023]
   Nyckelord :Option Market; Open Interest; Stock Return; Delta Hedging; Option Expiration Day; Business and Economics;

   Sammanfattning : Research questions: Is there significant change in the stock return on option expiration dates in the underlying stock? Does the net open interest have an effect on the return of the underlying stock on option expiration day? Purpose: The purpose of the bachelor's thesis is to study whether there is a significant difference in the stock returns on option expiration dates in relation to the net open interest of the underlying stocks within the OMXS30 index. Methodology: A quantitative study using a deductive approach to statistically describe the relationship between the daily stock return with open interest and traded volume. LÄS MER

3. 2. Predicting the Options Expiration Effect Using Machine Learning Models Trained With Gamma Exposure Data

   Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Alexander Dubois; [2022]
   Nyckelord :AdaBoost; LSTM; Machine learning; Random forests; Stock markets; SVM;

   Sammanfattning : The option expiration effect is a well-studied phenome, however, few studies have implemented machine learning models to predict the effect on the underlying stock market due to options expiration. In this paper four machine learning models, SVM, random forest, AdaBoost, and LSTM, are evaluated on their ability to predict whether the underlying index rises or not on the day of option expiration. LÄS MER

4. 3. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect

   Master-uppsats, KTH/Matematisk statistik

   Författare :Sina Mozayyan Esfahani; [2019]
   Nyckelord :Option expiration effect; option relevance coefficient; algorithmic trading; time series analysis; GARCH-X.; Effekten av optioners förfall; optionsrelevanskoefficient; algoritmisk handel; tidsserieanalys; GARCH-X.;

   Sammanfattning : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. LÄS MER

5. 4. En studie av lösensdagseffekt på aktiekursens volatilitet

   Magister-uppsats, Institutionen för ekonomi och företagande

   Författare :Sajan Singh Dang; Daniel Noyan; [2005]
   Nyckelord :Business studies; stock; option; expiration; volatility; Företagsekonomi; aktie; option; volatilitet; optionlösen; optionslösen;

   Sammanfattning : The purpose of this study is to examine the expiration day effect on a stocks volatility due to stock option expiration, which is every third Friday in the month on Stockholm stock exchange. Volatility is the standard deviation of a stock. It measures the uncertainty about a stocks future movement. LÄS MER