Dissertation topics

[kxchan]

Hi Guys,

I am currently searching for dissertation topics. My prof has indicated that he is interested in topics related to option mispricing or limits to arbitrage. Do you guys have any recommendations? Any interesting or current phenomenon in the financial markets related to the above topics that worth to be researched on?

Look forward to all your replies!

 

[Shakone]

You could look at liquidity issues, which throw off the Black-Scholes assumptions. There's already a fair amount of research papers there (none of it that convincing) to help you along. Alternatively you could look at option pricing and how it should be done when a central bank enforces a level (e.g. Swiss Central Bank keeping EUR/CHF above 1.2).

 

[kxchan]

Thank you Shakone! Anymore anyone?

 

[rmorse]

You could look at option pricing between the equity options and futures options. EG. GLD options vs gold futures option.

 

[kxchan]

Thank you rmorse for you suggestion, but pardon me for not catching what you mentioned. Could elaborate more?

 

[rmorse]

GLD is the etf for gold. It has options. Each month has a different vol. each month has a skew or slope of what strikes are higher or lower than the ATM options. Then examine the gold future. It has similar option months and strikes. If the vol is different in a material way, someone can arb them. Only certain brokers can cross margin, but if your well capitalized you can do it. You can examine the efficiency of the different asset classes which are based on the same basic metal.

 

[kxchan]

Hi Morse, you've been a great help. I shall do some research about it first before I discuss the topics with my professor. Thank you!

 

[kxchan]

Anyone has any other advice or suggestions?