Sökning: "Implied volatility and its informational content"

Hittade 2 uppsatser innehållade orden Implied volatility and its informational content.

  1. 1. Does Implied Volatility Predict Realized Volatility? : An Examination of Market Expectations

    Kandidat-uppsats, Nationalekonomiska institutionen

    Författare :Oscar Nilsson; Emmanuel Latim Okumu; [2014]
    Nyckelord :Implied volatility; index options; Black-Scholes; market efficiency;

    Sammanfattning : The informational content of implied volatility and its prediction power is evaluated for time horizons of one month. The study covers the period of November 2007 to November 2013 for the two indices S&P500 and OMXS30. The findings are put in relation to the corresponding results for past realized volatility. LÄS MER

  3. 2. Derivative market: efficient option pricing models and predictive informational content

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Martins Feldmanis; Juris Rumba; [2012]
    Nyckelord :Volatility surface; Implied volatility and its informational content; Put Call volume ratio; Model-Free implied volatility; Gram-Charlier Expansion;

    Sammanfattning : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. LÄS MER