TY: THES
T1 - Volatility derivatives: expected option returns
A1 - Matias, Hugo António Figueiredo
N2 - This thesis establishes how option returns are influenced by the underlying index volatility. To elaborate it, call, put and straddle options of the Standard & Poor?s 500 index were object of study.
The elaboration of this study focused, mainly, on the Black-Scholes/Capital Asset Pricing Model, and, along it, was found some curious facts that contradict previous conclusions collected for this theme.
Either way, for zero-beta at-the-money straddle options the expected returns obtained were negative, contradicting Black-Scholes/Capital Asset Pricing Model assumptions. The results indicate that in addition to market risk there is another risk associated with option contracts pricing.
UR - https://repositorio.iscte-iul.pt/handle/10071/19330
Y1 - 2018
PB - No publisher defined