Sökning: "S P 500 index options"

Visar resultat 6 - 10 av 14 uppsatser innehållade orden S P 500 index options.

  1. 6. Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Joar Mellström; [2019]
    Nyckelord :Volatility Surface; Implied Volatility; Rules of Thumb; NoArbitrage Condition; Index Options; Business and Economics;

    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

  3. 7. 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

  4. 8. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Dennis Facius; Mohit Rakyan; [2017]
    Nyckelord :Options; Risk-neutral density; Gauss-Hermite expansion; Skewness;

    Sammanfattning : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. LÄS MER

  5. 9. Randomized Quasi-Monte Carlo Simulations for Basket Option Pricing where underlying assets follow a Time-Changed Meixner Levy Process

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Gustav Säfwenberg; [2016]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can oer both insurance and leverage and for a more risk-loving investor they can be used as speculation. LÄS MER

  7. 10. Randomized Quasi-Monte Carlo Methods for Basket Option Pricing Where Underlying Assets Follow a Time-Changed Meixner Lévy Process

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Gustav Säfwenberg; [2016]
    Nyckelord :Basket options Randomized quasi-Monte Carlo Time-changed Lévy Process Meixner Distribution Fast Fourier Transform; Mathematics and Statistics;

    Sammanfattning : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can offer both insurance and leverage and for a more risk-loving investor they can be used as speculation. LÄS MER