Sökning: "Johannes Ackermann"

Hittade 1 uppsats innehållade orden Johannes Ackermann.

  1. 1. Assessing the Economic Value of Implied Volatility Estimates

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

    Författare :Johannes Ackermann; [2018]
    Nyckelord :implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

    Sammanfattning : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. LÄS MER