Sökning: "S P 500 index options"
Visar resultat 1 - 5 av 13 uppsatser innehållade orden S P 500 index options.
1. Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolioMaster-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : In this thesis, the use of machine learning in option strategies is evaluated with focus on the S&P 500 Index. The first part of the thesis focuses on testing the performance power of the Support Vector Regression (SVR) method for the historical realized volatility with a window of 20 days. LÄS MER
4. Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumpsKandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik
Sammanfattning : The purpose of this thesis is to compare option pricing models. We have investigated the constant volatility models Black-Scholes-Merton (BSM) and Merton’s Jump Diffusion (MJD) as well as the stochastic volatility models Heston and Bates. LÄS MER
- Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. LÄS MER