Sökning: "option implied volatility"
Visar resultat 16 - 20 av 46 uppsatser innehållade orden option implied volatility.
16. Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. LÄS MER
17. The Calibrated SSVI Method - Implied Volatility Surface Construction
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. LÄS MER
18. Smile! It increases your face value
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis examines some of the multiple variations of the previously established Rules of Thumb; which are used in attempting to explain implied volatility sur- faces. Here, these Rules are extensively tested on the Swedish stock market index (OMXS30) using rolling window analysis and linear stepwise regressions with for- ward selection. LÄS MER
19. Classification of Financial Instruments
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. LÄS MER
20. Anticipated Events’ Impact on FX Options’ Implied Volatility
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Understanding events’ impact on financial instruments are crucial for the participants in the financial markets. Here we propose an approach to model an anticipated event’s impact on the prices of FX options, represented in implied volatility. LÄS MER