Anomalies on options markets.

Student: Zheleznova Anastasiya

Supervisor: Dmitriy Alexandrovich Kachalov

Faculty: International College of Economics and Finance

Educational Programme: Bachelor

Year of Graduation: 2014

<p>Today there exists a wide choice of different financial instrument which give an investor almost infinite opportunity for earning profits, as well as for hedging existing assets against risks. One of these instruments is an option – an instrument which gives an investor the right, but not an obligation, to buy the underlying asset for settled price at settled moment of time. At the end of 2012 the Indian option market was growing at the highest rates in the world after the world’s financial crisis of 2008, that is why Indian options on stocks, traded from 2008 to 2012, are studied in this thesis. The purpose of this study is to find possible anomalies, deviations from normal market behavior and condition, caused by the appearance of new information on the market, mainly the announcements of dividend payments. The research is made with the help of methods of Implied Volatility and GARCH(1,1).</p>

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