Volatility derivatives: Expected option returns

• Autor(a) principal: Matias, Hugo António Figueiredo
• Data de Publicação: 2018
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/19330
• topic: S&P 500; Financial instruments; Derivatives; Volatility; Option returns; Instrumentos financeiros; Derivados financeiros; Volatilidade; Retornos das opções; Economia financeira; Opções; Índices Standard and Poor's; CAPM Capital Asset Pricing Model -- CAPM Capital Asset Pricing Model

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.