Sökning: "implicit volatilitet"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden implicit volatilitet.

  1. 1. When to expect decreasing implied volatilities

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Matematiska institutionen

    Författare :Tobias Nordahl; [2020]
    Nyckelord :finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

    Sammanfattning : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. LÄS MER

  2. 2. The Calibrated SSVI Method - Implied Volatility Surface Construction

    Master-uppsats, KTH/Matematisk statistik

    Författare :Adam Öhman; [2019]
    Nyckelord :Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

    Sammanfattning : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. LÄS MER

  3. 3. Classification of Financial Instruments

    Master-uppsats, KTH/Matematisk statistik

    Författare :Andreas Lindberg; [2019]
    Nyckelord :IFRS; Financial instruments; Classification; Fair value; Fair value hierarchy; Autocall; Swap; European option; Asian option; Implied volatility; Correlation; Market activity; Interest rates;

    Sammanfattning : In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. LÄS MER

  4. 4. Ett kvantitativt verktyg för utfärdande avsäljoptioner

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Erik Åhlgren; [2017]
    Nyckelord :;

    Sammanfattning : Denna studie undersöker om man kan utnyttja skillnader mellan optioners implicita volatilitet och den underliggande tillgångens historiska volatilitet för att skapa avkastning till sin portfölj. Detta har gjorts genom att ställa upp ett investeringsproblem vars lösning ska maximera investerarens nytta givet sina egna preferenser gällande risk och tro på marknadens utveckling. LÄS MER

  5. 5. The SVI implied volatility model and its calibration

    Master-uppsats, KTH/Matematisk statistik

    Författare :Alexander Aurell; [2014]
    Nyckelord :;

    Sammanfattning : The SVI implied volatility model is a parametric model for stochastic implied volatility.The SVI is interesting because of the possibility to state explicit conditions on its parameters so that the model does not generate prices where static arbitrage opportunities can occur. LÄS MER