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Title:Graphical analysis of hard-to-borrow stocks
Author(s):Nawaz, Tayyab
Advisor(s):Sowers, Richard B.
Department / Program:Mathematics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):hard to borrow stocks
implied dividend yield curve
dynamic programming
American options
Abstract:We study the graphical analysis for hard to borrow stocks i.e., stock with some constraints such as short selling. The main purpose of this graphical analysis was to introduce some algorithm for calculating the implied dividend yield curve for hard to borrow stocks using the dynamical programming. Implied dividend curve can be used to analyze the options which are hard to borrow. We used the python as our tool for dealing with the financial data taken from the yahoo finance, since it helps in minimizing the memory usage for the data storage. Our main interest was to work with hard to borrowness for at the money options, but due to unavailability for these events we worked with in the money options since they are more crucial for the puts options. Put options have an early exercise for the American options, so considering the put options for in the money options are more interesting to analyze.
Issue Date:2013-05-28
Rights Information:Copyright 2013 Tayyab Nawaz
Date Available in IDEALS:2013-05-28
Date Deposited:2013-05

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