Sökning: "Juris Rumba"

Hittade 1 uppsats innehållade orden Juris Rumba.

  1. 1. 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