Sökning: "Richard Steffen"

Hittade 1 uppsats innehållade orden Richard Steffen.

  1. 1. Risk premia implied by derivative prices

    Master-uppsats, KTH/Matematisk statistik

    Författare :Richard Steffen; [2015]
    Nyckelord :;

    Sammanfattning : The thesis investigates the potential to recover the real world probabilities of an underlying asset from derivative prices by using the recovery approach developed in (Carr & Yu, 2012) and (Ross, 2011). For this purpose the VIX Index and US Treasury bills are used to recover the VIX dynamics and the short rate dynamics under the real world probability measure. LÄS MER