Sökning: "put-call parity"

Hittade 5 uppsatser innehållade orden put-call parity.

  1. 1. Efficiency of the Swedish Option Market and the Effect of Volatility: A test of conversion and reversal strategies

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Pontus Hägerström; [2017-07-25]
    Nyckelord :;

    Sammanfattning : Using Swedish index option spanning the period of 2005 to 2015 the validity of the put-call parity, and thus the efficiency of the option market, has been tested. The impact of volatility on the market efficiency has also been covered in this paper. Theoretical as well as the financial efficiency was tested. LÄS MER

  3. 2. The implied probability distribution - A study of Swedish equity index options

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Johan Ring; [2011]
    Nyckelord :option-implied risk-neutral probability distribution; volatility smile; equity index options;

    Sammanfattning : This paper examines the option-implied risk-neutral probability distribution for index options traded on the Stockholm market over two decades. The focus is on the method of derivation with the goal of being valuable as a reference for future research as well as being valuable for its results. LÄS MER

  4. 3. Finns det möjlighet till arbitrage på VINX30 aktieindexoptioner? : en empirisk undersökning

    Kandidat-uppsats, Institutionen för teknik och samhälle

    Författare :Thomas Lindström; Cecilia Stenkvist; [2008]
    Nyckelord :Market efficiency; arbitrage; put-call parity; Effektiva marknader; arbitrage; köp-säljparitet;

    Sammanfattning : Optioner är ett instrument som investerare kan använda för att spekulera i framtida upp-eller nedgångar på olika tillgångar. Om dessa optioner är felprissatta finns det möjlighet att göra riskfria vinster med hjälp av Stolls köp-säljparitet. LÄS MER

  5. 4. Dynamic and Static Hedging of Barrier options

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anders Nilsson; Jon Andersson; [2007]
    Nyckelord :hedging; static; dynamic; barrier; options; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : In this paper the performance of a static hedging strategy of European barrier options are evaluated, first introduced by Carr, Ellis and Gupta in 1998. Two dynamic hedging strategies are used as benchmarks; the delta hedging and delta-gamma hedging strategy, respectively. LÄS MER

  7. 5. EMPIRICAL TEST OF MARKET EFFICIENCY OF OMX OPTIONS

    D-uppsats, Göteborgs universitet/Graduate Business School

    Författare :Aránzazu Muñoz Luengo; Aijun Hou; [2005]
    Nyckelord :Low boundary conditions; Put call parity; Delta neutral hedging; OMX options; Transaction costs; Implied volatility; Historical volatility; Market efficiency;

    Sammanfattning : This thesis examines the market efficiency of the Swedish index option (OMX) market. The empirical tests are carried out on an ex-ante basis using the index future contracts to hedge the index options. Two efficiency tests have been performed, explicitly lower boundary and put call parity conditions test and dynamic hedging strategy. LÄS MER