Sökning: "optionsrelevanskoefficient"

Hittade 1 uppsats innehållade ordet optionsrelevanskoefficient.

  1. 1. 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