Sökning: "Model-Free implied volatility"
Hittade 3 uppsatser innehållade orden Model-Free implied volatility.
1. A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. LÄS MER
2. Derivative market: efficient option pricing models and predictive informational content
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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
3. Model-Free Implied Volatility, Its Time-Series Behavior And Forecasting Ability
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Several widely acknowledged stylized statistical facts about the performance of volatility were observed during the analysis. First, the volatility exhibits mean-reversion towards its long-run mean. LÄS MER