Sökning: "Patrik Liedbeck"

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  1. 1. To what degree is the VIX benchmark computed by CBOE representative of its definition?

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Patrik Liedbeck; Wilhlem Ålander; [2018]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The purpose of this paper is through an empirical approach understand the dynamics of VIX and investigate to what degree the benchmark computed by CBOE is representative of its definition. The method implemented is of a design where one constructs a hypothetical world in which synthetic options data are produced by the Bates-Heston model. LÄS MER