Sökning: "implied volatility"

Visar resultat 26 - 30 av 112 uppsatser innehållade orden implied volatility.

1. 26. How Well Does Implied Volatility Predict Future Stock Index Returns and Volatility? : A Study of Option-Implied Volatility Derived from OMXS30 Index Options

   Kandidat-uppsats, Stockholms universitet/Företagsekonomiska institutionen

   Författare :Sara Vikberg; Julia Björkman; [2020]
   Nyckelord :Implied volatility;

   Sammanfattning : The purpose of this thesis is to study if and how well implied volatility can predict realised volatility and returns on the OMXS30 index one month in the future. The findings are put in relation to how historical volatility can predict realised volatility and how changes in implied volatility can predict returns. LÄS MER

3. 27. Implied volatility expansion under the generalized Heston model

   Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Hanna Andersson; Ying Wang; [2020]
   Nyckelord :Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

   Sammanfattning : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. LÄS MER

4. 28. Modeling the Relation Between Implied and Realized Volatility

   Master-uppsats, KTH/Matematisk statistik

   Författare :Tobias Brodd; [2020]
   Nyckelord :Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

   Sammanfattning : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. LÄS MER

5. 29. Intraday Volatility Surface Calibration

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Tobias Blomé; Adam Törnqvist; [2020]
   Nyckelord :;

   Sammanfattning : On the financial markets, investors search to achieve their economical goals while simultaneously being exposed to minimal risk. Volatility surfaces are used for estimating options' implied volatilities and corresponding option prices, which are used for various risk calculations. LÄS MER

7. 30. 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