Sökning: "Vol-of-vol"
Hittade 2 uppsatser innehållade ordet Vol-of-vol.
1. There Is Nothing Certain But The Uncertain
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER
2. Consistent pricing of VIX options
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis is an extension from the thesis "To what degree is the VIX benchmark computed by CBOE representative of its definition?" presented on June 16 in 2018. The primary purpose of this thesis is to investigate a consistent way of Fourier pricing with the Heston model and whether or not the estimates can be improved by extending the amount of CIR processes in order to catch the non-linear behavior of VIX options. LÄS MER