Sökning: "Emmanuel Black"

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  1. 1. Does Implied Volatility Predict Realized Volatility? : An Examination of Market Expectations

    Kandidat-uppsats, Nationalekonomiska institutionen

    Författare :Oscar Nilsson; Emmanuel Latim Okumu; [2014]
    Nyckelord :Implied volatility; index options; Black-Scholes; market efficiency;

    Sammanfattning : The informational content of implied volatility and its prediction power is evaluated for time horizons of one month. The study covers the period of November 2007 to November 2013 for the two indices S&P500 and OMXS30. The findings are put in relation to the corresponding results for past realized volatility. LÄS MER