Sökning: "option implied volatility"

Visar resultat 11 - 15 av 46 uppsatser innehållade orden option implied volatility.

  1. 11. 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

  3. 12. 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

  4. 13. 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

  5. 14. 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. 15. 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