Sökning: "Implied volatility"
Visar resultat 1 - 5 av 111 uppsatser innehållade orden Implied volatility.
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER
2. Does Implied- or Historical Volatility predict Realized Volatility? : An empirical study conducted to find evidence for which out of historical volatility or implied volatility better forecasts the future volatility.Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)
Sammanfattning : This study tests if historical volatility- and implied volatility has significant predictive power over future realized volatility and if so which one of the two is the superior predictor. The study is conducted by using historical volatility of the OMXS30 and implied volatility from OMXS30 call options during the period 2012-2023. LÄS MER
- Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)
Sammanfattning : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. LÄS MER
4. Benefits and drawbacks of conducting journalism over web3 : An overview on transparency, security and revenue.Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)
Sammanfattning : This thesis analyzes the benefits and drawbacks of conducting journalism over web3 in the aspects of transparency, security and revenue model. Although there currently exist numerous studies on web3 and journalism, no one provides a concise overview on the topic linking these technologies to journalism. LÄS MER
5. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen
Sammanfattning : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. LÄS MER