dc.contributor.advisor |
Sira Suchintabandid |
|
dc.contributor.author |
Thapanon Rungwittayatiwat |
|
dc.contributor.other |
Chulalongkorn University. Faculty of Commerce and Accountancy |
|
dc.date.accessioned |
2020-11-11T12:27:03Z |
|
dc.date.available |
2020-11-11T12:27:03Z |
|
dc.date.issued |
2019 |
|
dc.identifier.uri |
http://cuir.car.chula.ac.th/handle/123456789/69738 |
|
dc.description |
Independent Study (M.Sc.)--Chulalongkorn University, 2019 |
|
dc.description.abstract |
The study examines the impacts of volatility spread and time-to-maturity on the returns of writing non-directional options strategies on SET50 index options in Thailand Futures Exchange. The study allows to use over-lapping data for the periods of 1-month, 2-month and 3-month maturities to test with the same expiration date to examine the impacts of time-to-maturity. Also, this paper adds the data of in-the-money and out-of-the-money by 25 points and 50 points call and put options to build strangle in various moneyness to find the difference of the impact of volatility spread and time-to-maturity from various moneyness. |
|
dc.language.iso |
en |
|
dc.publisher |
Chulalongkorn University |
|
dc.relation.uri |
http://doi.org/10.58837/CHULA.IS.2019.49 |
|
dc.rights |
Chulalongkorn University |
|
dc.subject |
Options (Finance) |
|
dc.subject.classification |
Business |
|
dc.title |
The impacts of Volatility Spread and Timing on writing non-directional options strategies |
|
dc.type |
Independent Study |
|
dc.degree.name |
Master of Science |
|
dc.degree.level |
Master's Degree |
|
dc.degree.discipline |
Finance |
|
dc.degree.grantor |
Chulalongkorn University |
|
dc.identifier.DOI |
10.58837/CHULA.IS.2019.49 |
|