Sökning: "moneyness"

Visar resultat 1 - 5 av 12 uppsatser innehållade ordet moneyness.

  1. 1. 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

  3. 2. 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

  4. 3. Pricing Currency Options with Bates Model: Analytical Tractability versus Empirical Misspeci cation

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Oscar Thelander; [2021-02-02]
    Nyckelord :;

    Sammanfattning : In this thesis I complement the results from Bates (1996) wherein a Stochastic Volatility Jump-Di usion model for pricing foreign currency options is introduced and evaluated against USD/DM foreign exchange options. I complement Bates results with two di erent calibration methodologies, nonlinear least-squares and the built-in MATLAB function fmincon, using the same dataset that was used in Bates (1996). LÄS MER

  5. 4. Optimizing the Number of Time-steps Used in Option Pricing

    Master-uppsats, Linköpings universitet/Institutionen för datavetenskap

    Författare :Hugo Lewenhaupt; [2019]
    Nyckelord :Option pricing; binomial trees; machine learning; deep learning; discretization methods; optimization; recombinant tree; convergence;

    Sammanfattning : Calculating the price of an option commonly uses numerical methods and can becomputationally heavy. In general, longer computations result in a more precisresult. As such, improving existing models or creating new models have been thefocus in the research field. LÄS MER

  7. 5. 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