Sökning: "implied market volatility"

Visar resultat 1 - 5 av 74 uppsatser innehållade orden implied market volatility.

  1. 1. The Predictive Power of Implied Volatility in Option Pricing

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Lovisa Berglund; [2023]
    Nyckelord :Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Sammanfattning : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. LÄS MER

  3. 2. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

    Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Joakim Mårs; Tobias Stark; [2023]
    Nyckelord :;

    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. 3. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Karl Tingstedt; [2022]
    Nyckelord :SV; ARCH; GARCH; TARCH; EGARCH; HARRV; IV; RV; Integrated Volatility; TINA;

    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

  5. 4. Options and analysts : A study on the relationship between option implied volatility and analyst consensus recommendations

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Ludwig Flank Zetterström; Krenare Salihu; [2022]
    Nyckelord :Finance; options; option implied volatility; stock recommendations; revisions; information asymmetries;

    Sammanfattning : The purpose of our thesis is to examine the relationship between option implied volatility and analyst consensus recommendation revisions. We offer a Swedish perspective on the growing popularity of equity options and its relationship with different stock market participants and returns. LÄS MER

  7. 5. The impact of extreme weather events on implied volatility functions of agricultural options

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Henry Korba; Samkele Leve; [2022]
    Nyckelord :;

    Sammanfattning : The main aim of this thesis is to investigate the impact of extreme weather events on implied volatility functions of agricultural commodity options at different levels of moneyness. The thesis used daily data of the implied volatilties of four major US agricultural commodities at three moneyness levels for the period starting 2017 to 2022. LÄS MER