Sökning: "implied risk neutral density function"

Hittade 1 uppsats innehållade orden implied risk neutral density function.

  1. 1. The Relation between information in option prices and short term market return

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Stille; [2005]
    Nyckelord :option prices; implied volatility; short term return; mean reversion; implied risk neutral density function; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : Abstract The purpose of this thesis is to analyze if implied volatility and the implied risk neutral density function can predict short term market return of the Swedish OMX-index. To study the relation between information in option prices and short term market return I perform and OLS-regression with the market return as dependent variable. LÄS MER