Sökning: "Implied volatility index"
Visar resultat 1 - 5 av 42 uppsatser innehållade orden Implied volatility index.
1. Implied and Historical Volatility : An Empirical Study on Their Predictive Power of the Future Volatility on the OMXS30 Index
Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro UniversitetSammanfattning : .... LÄS MER
2. 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
3. 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
4. Implied volatility with HJM–type Stochastic Volatility model
Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems. In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER
5. Macroeconomic Announcements and Uncertainty Resolving : Empirical Evidence from the Eurozone
Magister-uppsats, Umeå universitet/NationalekonomiSammanfattning : Studying and identifying the impact of the macroeconomic news on the uncertainty, measured by the implied volatility index behavior in the European financial market, is the main goal of this study. The macroeconomic variables are regarded in this study are consumer price index CPI, the gross domestic product GDP, employment reports EMP, monetary policy MP, labor cost LC, and the current account for the Eurozone CA. LÄS MER