Date of Award
Spring 2024
Degree Name
Bachelor of Science (BS)
Advisor(s)
James McCann
Abstract
The “meme stock” phenomenon provides an opportunity to study the relationship between equity options implied volatility and securities in the capital structure of a company. Meme companies, such as GameStop and Bed Bath & Beyond, take advantage of extraordinarily high implied volatility in options to restructure its capital structure. The capital markets decisions taken by these firms could be studied to show that equity implied volatility is an asset to a company that is not listed in its balance sheet. This asset could be priced by treating it as a European Call Option, which through methods of Monte Carlo simulation, we can estimate its value and draw real-world conclusions on the capital structure.
Recommended Citation
Kibria, Afwan, "Capital Structure Implications of Options Implied Volatility" (2024). Gabelli School of Business Honors Thesis Collection. 160.
https://research.library.fordham.edu/gabelli_thesis/160
