Essays about: "Henry Li"

Found 1 essay containing the words Henry Li.

  1. 1. Predictive Power of the Volatility Smile

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Henry Li; Johan Möller; [2011]
    Keywords : Volatility smile; Geometric Brownian Motion with Jump diffusion; Maximum Likelihood Estimation; Jump risk; Predictive Power;

    Abstract : The Black-Scholes option pricing formula yield lower volatility than volatility observed in the market when looking at option prices. Several theories have been presented to explain this phenomenon and how the world of finance can use this information. READ MORE