Sökning: "Implied Volatility"
Visar resultat 1 - 5 av 66 uppsatser innehållade orden Implied Volatility.
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. LÄS MER
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : Value-at-risk offers a quick estimate of the market risk exposure inherent in an asset or portfolio. A wide range of value-at-risk methods exist, which differ slightly in the estimation procedures and their assumptions. LÄS MER
- C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : In this thesis we investigate the volatility risk premium (VRP) on OMXS30 and S&P 500 and the predictive capabilities of Gaussian Process for regression (GP) on the volatility of those indices. The results are evaluated by comparison with corresponding predictions of a few methods from the GARCH family as well as a naive approach. LÄS MER
5. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index optionsMaster-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling
Sammanfattning : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. LÄS MER
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