Sökning: "option implied volatility"
Visar resultat 1 - 5 av 46 uppsatser innehållade orden option implied volatility.
1. There Is Nothing Certain But The Uncertain
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER
2. The Predictive Power of Implied Volatility in Option Pricing
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : 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. 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)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
4. The impact of extreme weather events on implied volatility functions of agricultural options
Master-uppsats, Umeå universitet/FöretagsekonomiSammanfattning : 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
5. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. LÄS MER