Sökning: "Implied Volatility"
Visar resultat 11 - 15 av 112 uppsatser innehållade orden Implied Volatility.
11. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. LÄS MER
12. Perpetual American Options and ImpliedVolatility
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : This thesis analyzes perpetual American options and in particular aimsto identify what kind of behavior the implied volatility of perpetual Americanput options display. Using two different approaches, we derive the valuefunction for the American put option. LÄS MER
13. The Impact of Scheduled Macroeconomic News Releases on Stock Market Uncertainty
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : While prior literature has studied the impact of news releases on different financial markets, the option market has received less attention. The purpose of this paper is to examine the relationship between scheduled macroeconomic news releases and stock market uncertainty in the United States between January 1990 and April 2021. LÄS MER
14. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. LÄS MER
15. Pricing Complex derivatives under the Heston model
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER