Sökning: "Felipe Black"

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  1. 1. Volatility in covered warrants - A comparison between EGARCH-forecasted volatility and implied volatility on the Swedish warrant market -

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Felipe Domarchi Veliz; Per Heinrup; [2008]
    Nyckelord :volatility; EGARCH; Warrants; Black and Scholes; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : "The aim of this thesis is to study the implied volatility on certain warrants on the Nordic Derivatives Exchange and compare it to an EGARCH-forecasted volatility (which throughout the thesis is used as proxy for the true volatility by the authors) in order to see if the difference follows a specific pattern." The difference between the forecasted volatility and the implied volatility fluctuates across moneyness and the lifetime of the warrant. LÄS MER