Sökning: "Volatility frown"

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  1. 1. Anticipated Events’ Impact on FX Options’ Implied Volatility

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Frej Håkansson; Björn Nilsson; [2018]
    Nyckelord :Volatility frown; implied volatility; jump model; anticipated event; SABR; FX Options; Mathematics and Statistics;

    Sammanfattning : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. LÄS MER