Essays about: "Implied volatility index"
Showing result 1 - 5 of 38 essays containing the words Implied volatility index.
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1. Implied and Historical Volatility : An Empirical Study on Their Predictive Power of the Future Volatility on the OMXS30 Index
University essay from Örebro universitet/Handelshögskolan vid Örebro UniversitetAbstract : .... READ MORE
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2. The Impact of Scheduled Macroeconomic News Releases on Stock Market Uncertainty
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : While prior literature has studied the impact of news releases on different financial markets, the option market has received less attention. The purpose of this paper is to examine the relationship between scheduled macroeconomic news releases and stock market uncertainty in the United States between January 1990 and April 2021. READ MORE
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3. Pricing Complex derivatives under the Heston model
University essay from KTH/Matematik (Avd.)Abstract : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. READ MORE
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4. Implied volatility with HJM–type Stochastic Volatility model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems. In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. READ MORE
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5. Macroeconomic Announcements and Uncertainty Resolving : Empirical Evidence from the Eurozone
University essay from Umeå universitet/NationalekonomiAbstract : Studying and identifying the impact of the macroeconomic news on the uncertainty, measured by the implied volatility index behavior in the European financial market, is the main goal of this study. The macroeconomic variables are regarded in this study are consumer price index CPI, the gross domestic product GDP, employment reports EMP, monetary policy MP, labor cost LC, and the current account for the Eurozone CA. READ MORE