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1. 1. Measuring the Risk-neutral Probability Distribution of Equity Index Options

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Gustav Dackner; Linus Falk; [2019]
   Nyckelord :;

   Sammanfattning : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. LÄS MER