Graphical analysis of hard-to-borrow stocks

Nawaz, Tayyab

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https://hdl.handle.net/2142/44814 Copy

Description

Title

Graphical analysis of hard-to-borrow stocks

Author(s)

Nawaz, Tayyab

Issue Date

2013-05-28T19:21:00Z

Director of Research (if dissertation) or Advisor (if thesis)

Sowers, Richard B.

Department of Study

Mathematics

Discipline

Mathematics

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

M.S.

Degree Level

Thesis

Date of Ingest

2013-05-28T19:21:00Z

Keyword(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.

Graduation Semester

2013-05

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http://hdl.handle.net/2142/44814

Copyright and License Information

Copyright 2013 Tayyab Nawaz

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