Essays about: "Implied Market Volatility"

Showing result 1 - 5 of 67 essays containing the words Implied Market Volatility.

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

    University essay from KTH/Matematisk statistik

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

    Abstract : 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. READ MORE

  3. 2. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach

    University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Author : Joakim Mårs; Tobias Stark; [2023]
    Keywords : ;

    Abstract : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. READ MORE

  4. 3. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Karl Tingstedt; [2022]
    Keywords : SV; ARCH; GARCH; TARCH; EGARCH; HARRV; IV; RV; Integrated Volatility; TINA;

    Abstract : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. READ MORE

  5. 4. Options and analysts : A study on the relationship between option implied volatility and analyst consensus recommendations

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Ludwig Flank Zetterström; Krenare Salihu; [2022]
    Keywords : Finance; options; option implied volatility; stock recommendations; revisions; information asymmetries;

    Abstract : The purpose of our thesis is to examine the relationship between option implied volatility and analyst consensus recommendation revisions. We offer a Swedish perspective on the growing popularity of equity options and its relationship with different stock market participants and returns. READ MORE

  6. 5. The impact of extreme weather events on implied volatility functions of agricultural options

    University essay from Umeå universitet/Företagsekonomi

    Author : Henry Korba; Samkele Leve; [2022]
    Keywords : ;

    Abstract : The main aim of this thesis is to investigate the impact of extreme weather events on implied volatility functions of agricultural commodity options at different levels of moneyness. The thesis used daily data of the implied volatilties of four major US agricultural commodities at three moneyness levels for the period starting 2017 to 2022. READ MORE