Sökning: "optioner implicit volatilitet"

Visar resultat 1 - 5 av 12 uppsatser innehållade orden optioner implicit volatilitet.

1. 1. The Predictive Power of Implied Volatility in Option Pricing

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Lovisa Berglund; [2023]
   Nyckelord :Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

   Sammanfattning : 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. 2. Volatilitetsprognoser på den amerikanska aktiemarknaden : En kvantitativ studie om den implicita volatilitetens prognosförmåga på realiserad volatilitet

   Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling; Linköpings universitet/Filosofiska fakulteten

   Författare :Robert Lindahl; Carl Kylberg; [2022]
   Nyckelord :Implicit volatilitet; realiserad volatilitet; optioner; handelsvolym; löptid; prognos; HAR; heterogeneous autoregressive; linjär regression;

   Sammanfattning : Bakgrund: För att kunna ta välgrundade finansiella beslut, behöver aktörer göra prognoser om vad som kommer ske i framtiden. Detta har medfört att både forskare och praktiker har byggt olika modeller som syftar till att prognostisera framtiden. LÄS MER

4. 3. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

   Master-uppsats, KTH/Matematisk statistik

   Författare :Christopher Herron; André Zachrisson; [2020]
   Nyckelord :Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

   Sammanfattning : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. LÄS MER

5. 4. Modeling the Relation Between Implied and Realized Volatility

   Master-uppsats, KTH/Matematisk statistik

   Författare :Tobias Brodd; [2020]
   Nyckelord :Volatility; implied volatility; realized volatility; machine learning; applied mathematics; financial mathematics; neural networks; ann; lstm; ar; har; ornstein uhlenbeck; Volatilitet; implicit volatilitet; realiserad volatilitet; maskininlärning; tillämpad matematik; finansiell matematik; neurala nätverk; ann; lstm; ar; har; ornstein uhlenbeck;

   Sammanfattning : Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. LÄS MER

7. 5. Classification of Financial Instruments

   Master-uppsats, KTH/Matematisk statistik

   Författare :Andreas Lindberg; [2019]
   Nyckelord :IFRS; Financial instruments; Classification; Fair value; Fair value hierarchy; Autocall; Swap; European option; Asian option; Implied volatility; Correlation; Market activity; Interest rates;

   Sammanfattning : 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