Sökning: "Ante Munoz"

Hittade 1 uppsats innehållade orden Ante Munoz.

  1. 1. 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