This study investigates the algorithm of effective option trading strategy based on the superior volatility forecasts using actual option price data in Taiwan stock market. Forecast evaluation supports the significant incremental explanatory power of investor sentiments on the fitting and forecasting of future volatility to its adversarial multiple-factor model, especially the market turnover a...

Ranking is a technique to categorize & finding the best option in the market. When number of best option is available in the market so its difficult to getting the best option is always a problem. In this paper we proposed a technique to optimize the ranking and its availability to check performance factor in order to maintained high ranking and quality of popular option in the market. We enhan...

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. We demonstrate that, through its effects on stock prices, product market competition affects the prices of options on equity naturally and leads to an inverse relationship between equity returns and volatility, gen...

Currency option market has developed strongly since breakdown of the Bretton Wood agreement in the early 1970s. Options have begun to be an alternative risk management tool to cope with the high exchange rate volatility. After the stock market crash in 1987 market participants could have observed some new phenomena in option prices. The so-called volatility smile appeared to violate the famous ...

Estimation of a consistent volatility model of the underlying is crucial for option hedging. The authors illustrate that, compared to the implied/constant volatility method, a local volatility function method can estimate the underlying volatility from option prices more consistently. The result is more accurate hedge parameters and smaller hedging errors. The evidence provided includes an exam...

Option is derivative instrument that have investment benefit and provide return for the writer and the holder. Option price determination is affected by risk factor. However in Black-Scholes model option price is determined without arbitrage risk affection so it is impossible to take return. In this study, option price formula is constructed to be more represent the condition of financial marke...