Sökning: "implied volatility skew"

Hittade 4 uppsatser innehållade orden implied volatility skew.

1. 1. Perpetual American Options and ImpliedVolatility

   Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

   Författare :Ebba Mellquist; [2022]
   Nyckelord :;

   Sammanfattning : This thesis analyzes perpetual American options and in particular aimsto identify what kind of behavior the implied volatility of perpetual Americanput options display. Using two different approaches, we derive the valuefunction for the American put option. LÄS MER

3. 2. Volatility Curves of Incomplete Markets

   Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

   Författare :Kateryna Chechelnytska; [2020-06-23]
   Nyckelord :Implied volatility; Incomplete markets; Trinomial option pricing model; Black-Scholes option pricing model; Risk-neutral probability;

   Sammanfattning : The graph of the implied volatility of call options as a function of the strike price is called volatility curve. If the options market were perfectly described by the Black-Scholes model, the implied volatility would be independent of the strike price and thus the volatility curve would be a at horizontal line. LÄS MER

4. 3. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis

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

   Författare :Davide Brugola; [2019]
   Nyckelord :single stocks; options; implied volatility skew; jumps; earnings announcements;

   Sammanfattning : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. LÄS MER

5. 4. Information Spillover from VIX Options to VIX Futures: the Information Content of Put-Call Ratio and Implied Volatility Skew

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

   Författare :Giorgio Magagnotti; [2016]
   Nyckelord :VIX futures; VIX options; put-call ratio; implied volatility skew;

   Sammanfattning : This paper investigates the predictive power of the information content of VIX options with respect to VIX futures. Two sub-samples of variables are used in the analysis: put-call ratios of daily option volumes and spreads among implied volatilities across different moneyness levels, derived from VIX options prices. LÄS MER