Sökning: "option implied volatility"

Visar resultat 21 - 25 av 46 uppsatser innehållade orden option implied volatility.

1. 21. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

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

   Författare :Nathaniel Ahy; Mikael Sierra; [2018]
   Nyckelord :Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

   Sammanfattning : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. LÄS MER

3. 22. Assessing the Economic Value of Implied Volatility Estimates

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Johannes Ackermann; [2018]
   Nyckelord :implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

   Sammanfattning : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. LÄS MER

4. 23. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

   Master-uppsats, KTH/Matematisk statistik

   Författare :Simon Carmelid; [2017]
   Nyckelord :;

   Sammanfattning : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. LÄS MER

5. 24. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

   Master-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

   Författare :Nicklas Rehnby; [2017]
   Nyckelord :option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

   Sammanfattning : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. LÄS MER

7. 25. Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Anton Agermark; Visar Hoti; [2016-10-04]
   Nyckelord :forecasting; implied volatility; realized volatility; jump process; bipower variation; tripower variation; high-frequency data; FX;

   Sammanfattning : In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denominated exchange rates, EUR/SEK and USD/SEK, with the purpose to analyze if ex-post or ex-ante forecasting models produce the most accurate forecasts. High-frequency exchange rate data is employed in order to construct the ex-post Heterogeneous Autoregressive Model of Realized Volatility, HAR-RV, as well as a modi ed model using the bipower and tripower variation to separate the continuous sample path (C) and the jump component (J) of realized volatility, HAR-CJ. LÄS MER