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American lookback options: Early exercise
Title
American lookback options: Early exercise.
Creator
Abramov, Viatcheslav Alexander., Florida Atlantic University, Yuhn, Ky-hyang, College of Business, Department of Economics
Abstract/Description
Lookback options are path dependent contingent claims whose payoff depend on the extrema of a given security's price over a given period. Some of these options are already traded on specialized markets (such as foreign exchange) and mostly in over-the-counter market alongside with other path dependent options (knock-ins, knock-outs, etc.). This thesis examines the existing pricing models of conventional options as well as standard European lookback options and provides some results about...
Show moreLookback options are path dependent contingent claims whose payoff depend on the extrema of a given security's price over a given period. Some of these options are already traded on specialized markets (such as foreign exchange) and mostly in over-the-counter market alongside with other path dependent options (knock-ins, knock-outs, etc.). This thesis examines the existing pricing models of conventional options as well as standard European lookback options and provides some results about early exercise of their American counterparts with the use of notions from the theory of optimal stopping.
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Date Issued
1995
PURL
http://purl.flvc.org/fcla/dt/15177
Subject Headings
Options (Finance), Derivative securities
Format
Document (PDF)
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market
Title
Entropic Considerations of Efficiency in the West Texas Intermediate Crude Oil Futures Market.
Creator
Sagul, Ryan, Yuhn, Ky-hyang, Florida Atlantic University, College of Business, Department of Economics
Abstract/Description
For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to...
Show moreFor the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis.
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Date Issued
2016
PURL
http://purl.flvc.org/fau/fd/FA00004730, http://purl.flvc.org/fau/fd/FA00004730
Subject Headings
Capital market -- Psychological aspects, Energy industries -- Risk management, Financial risk management -- Mathematical models, Futures, Investment analysis, Petroleum industry and trade -- Economic aspects, Stocks -- Mathematical models
Format
Document (PDF)
Interest rates and inflation: An analysis of monetary policy
Title
Interest rates and inflation: An analysis of monetary policy.
Creator
Steele, Sandra C., Florida Atlantic University, Yuhn, Ky-hyang, College of Business, Department of Economics
Abstract/Description
The main contribution of this thesis is the determination of how long it takes for an adjustment in the short-term interest rate to effect inflation. In order to ascertain this, a good amount of economic theory is covered, including a rudimentary explanation of inflation and interest rates, a brief history of monetary policy in the United States, an analysis of the relationship between long- and short-term interest rates, the importance of credibility and inertia, and a detailed review of...
Show moreThe main contribution of this thesis is the determination of how long it takes for an adjustment in the short-term interest rate to effect inflation. In order to ascertain this, a good amount of economic theory is covered, including a rudimentary explanation of inflation and interest rates, a brief history of monetary policy in the United States, an analysis of the relationship between long- and short-term interest rates, the importance of credibility and inertia, and a detailed review of interest rate policy since 1979. This, in conjunction with empirical analysis, does in fact offer an answer to this question.
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Date Issued
1995
PURL
http://purl.flvc.org/fcla/dt/15181
Subject Headings
Inflation (Finance), Interest rates--United States--Effect of inflation on, Monetary policy--United States, Interest rates--Government policy--United States
Format
Document (PDF)
International shocks and interdependence: Cointegration results from the major equity markets
Title
International shocks and interdependence: Cointegration results from the major equity markets.
Creator
Croce, Robert William., Florida Atlantic University, Yuhn, Ky-hyang, College of Business, Department of Economics
Abstract/Description
This study subjects the world's major stock markets to cointegration tests in an effort to respond to the common investigation that the major equity markets tend to move together with the U.S. market. The relationships between the United States and Canada, France, Germany, Japan, and the United Kingdom will be investigated. Not only will the entire period of 1970-1991.3 be examined, but the pre-1987 crash and the post-1987 crash periods as well. In addition, the Chow test will be employed to...
Show moreThis study subjects the world's major stock markets to cointegration tests in an effort to respond to the common investigation that the major equity markets tend to move together with the U.S. market. The relationships between the United States and Canada, France, Germany, Japan, and the United Kingdom will be investigated. Not only will the entire period of 1970-1991.3 be examined, but the pre-1987 crash and the post-1987 crash periods as well. In addition, the Chow test will be employed to probe for any structural change occurrence relating to the worldwide stock market crash of October 1987. Evidence of cointegration is found to exist vis-a-vis the U.S. with the U.K. and Germany for the entire period; however, since the crash, only the U.K. and Japan have exhibited equilibrium relations. Absolutely no cointegration was detected for Canada nor France with the U.S. market.
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Date Issued
1995
PURL
http://purl.flvc.org/fcla/dt/15228
Subject Headings
Stock exchanges, Stock Market Crash, 1987, International finance, Financial institutions, International
Format
Document (PDF)