Sökning: "implied volatility"

Visar resultat 1 - 5 av 104 uppsatser innehållade orden implied volatility.

  1. 1. 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

  2. 2. Implied and Historical Volatility : An Empirical Study on Their Predictive Power of the Future Volatility on the OMXS30 Index

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Hampus Egly; Christopher Solbakke; [2022]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  3. 3. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Simon Wahlberg; [2022]
    Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER

  4. 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

  5. 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