Hostname: page-component-586b7cd67f-r5fsc Total loading time: 0 Render date: 2024-11-25T04:07:42.554Z Has data issue: false hasContentIssue false

Security Option Strategy under Risk Aversion: An Analysis

Published online by Cambridge University Press:  19 October 2009

Extract

The trading of security options is one of the fastest growing and most dynamic areas of investment concern. When the Chicago Board of Trade's proposal to develop an exchange for trading option contracts is implemented, security option trading will become an even more important aspect of the investment world.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1973

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Bellman, Richard. Dynamic Programming. Princeton, N.J.: Princeton University Press, 1957.Google ScholarPubMed
[2]Boness, A. James. “Some Evidence on the Profitability of Trading in Put and Call Options.” In The Random Character of Stock Market Prices, edited by Cootner, Paul H., Cambridge, Mass.: The M.I.T. Press, 1964.Google Scholar
[3]Boness, A. James. “Elements of a Theory of Stock-Option Value.” Journal of Political Economy, vol. 72 (April 1964), pp. 163175.CrossRefGoogle Scholar
[4]Bonini, Charles P.Simulation of the Information and Decision Systems Within the Firm. Englewood Cliffs, N.J.: Prentice-Hall, 1963.Google Scholar
[5]Conte, S.D.Elementary Numerical Analysis: An Algorithmic Approach. New York, N.Y.: McGraw-Hill, 1965.Google Scholar
[6]Cootner, Paul H.The Random Character of Stock Market Prices. Cambridge, Mass.: The M.I.T. Press, 1964.Google Scholar
[7]Davidson, D.; Suppes, P.; and Siegel, S.. Decision Making: An Experimental Approach. Stanford, Calif.: Stanford University Press, 1957.Google Scholar
[8]Emshoff, James R., and Sisson, Roger L.. Design and Use of Computer Simulation Models. New York, N.Y.: Macmillan, 1970.Google Scholar
[9]Fama, Eugene F.The Behavior of Stock Market Prices.” Journal of Business, vol. 38 (January 1965), pp. 34105.CrossRefGoogle Scholar
[10]Friedman, Milton, and Savage, Leonard J.. “The Utility Analysis of Choices Involving Risk.” Journal of Political Economy, vol. 56 (August 1948), pp. 279304.CrossRefGoogle Scholar
[11]Grayson, C. Jackson Jr.Decisions Under Uncertainty: Drilling Decisions by Oil and Gas Operators. Cambridge, Mass.: Harvard Business School, 1960.Google Scholar
[12]Green, P.E.Risk Attitudes and Chemical Investment Decisions.” Chemical Engineering Progress, vol. 59 (January 1963), pp. 3540.Google Scholar
[13]Hadley, George. Nonlinear and Dynamic Programming. Reading, Mass.: Addison-Wesley Publishing Co., 1964.Google Scholar
[14]Hausman, W.H., and White, W.L.. “Theory of Option Strategy Under Risk Aversion.” Journal of Financial and Quantitative Analysis, vol. 3 (September 1968), pp. 343358.CrossRefGoogle Scholar
[15]Hayes, R.H.Optimal Strategies for Divestiture.” Operations Research, vol. 17 (March–April 1969), pp. 292310.CrossRefGoogle Scholar
[16]Hicks, Charles R.Fundamental Concepts in the Design of Experiments. New York, N.Y.: Holt, Rinehart and Winston, 1964.Google Scholar
[17]Hunter, J.S., and Naylor, T.H.. “Experimental Designs for Computer Simulation Experiments.” Management Science, vol. 16 (March 1970), pp. 422434.CrossRefGoogle Scholar
[18]Jackson, J.T. Ross. “Some Speculative Strategies in the Stock Market.” Ph.D. dissertation, Case Institute of Technology, 1964.Google Scholar
[19]Karlin, S. “Stochastic Models and Optimal Policy for Selling an Asset.” In Studies in Applied Probability and Management Science, edited by Arrow, , Karlin, , and Scarf, , chapter 9. Stanford, Calif.: Stanford University Press, 1962.Google Scholar
[20]Katz, Richard. “The Profitability of Put and Call Option Writing.” Industrial Management Review, vol. 5 (Fall 1963), pp. 3569.Google Scholar
[21]Kruizenga, Richard J. “Profit Returns from Purchasing Puts and Calls.” In The Random Character of Stock Market Prices, edited by Cootner, Paul H.Cambridge, Mass.: The M.I.T. Press, 1964.Google Scholar
[22]Malkiel, Burton G., and Quandt, Richard E.. Strategies and Rational Decisions in the Securities Option Market. Cambridge, Mass.: The M.I.T. Press, 1969.Google Scholar
[23]Mandelbrot, Benoit. “The Variation of Certain Speculative Prices.” Journal of Business, vol. 36 (October 1963), pp. 394419.CrossRefGoogle Scholar
[24]Markowitz, Harry M.The Utility of Wealth.” Journal of Political Economy, vol. 60 (April 1952), pp. 151158.CrossRefGoogle Scholar
[25]Markowitz, Harry M.Portfolio Selection – Efficient Diversification of Investments. New York, N.Y.: John Wiley & Sons, 1959.Google Scholar
[26]McGuigan, James R. “Timing Strategies in the Call Option Market.” Ph.D. dissertation, University of Pittsburgh, 1971.CrossRefGoogle Scholar
[27]Mosteller, F., and Nogee, P.. “An Experimental Measurement of Utility.” Journal of Political Economy, vol. 59 (October 1951), pp. 371404.CrossRefGoogle Scholar
[28]Nathan, Robert R., Associates, Inc. Public Policy Aspects of a Future-Type Market in Options on Securities, vols. 1 and 2, prepared for the Chicago Board of Trade, November 1969.Google Scholar
[29]Osborne, M.F.M.Brownian Motion in the Stock Marketing.” Operations Research, vol. 7 (March–April 1959), pp. 145173.CrossRefGoogle Scholar
[30]Pratt, John W.Risk Aversion in the Small and in the Large.” Econometrica, vol. 32 (January 1964), pp. 122136.CrossRefGoogle Scholar
[31]Pye, Gordon. “The Value of the Call Option on a Bond.” Journal of Political Economy, vol. 74 (April 1966), pp. 200205.CrossRefGoogle Scholar
[32]Taylor, Howard M.Evaluation of a Call Option and Optimal Timing Strategy in the Stock Market.” Management Science, vol. 14 (September 1967), pp. 111120.CrossRefGoogle Scholar