Essays about: "Risk-neutral density"

Found 5 essays containing the words Risk-neutral density.

  1. 1. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

  3. 2. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dennis Facius; Mohit Rakyan; [2017]
    Keywords : Options; Risk-neutral density; Gauss-Hermite expansion; Skewness;

    Abstract : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. READ MORE

  4. 3. Risk neutral densities and the September 2008 stock market crash: A study on European data

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Misha Wolynski; Martin Theimer; [2011]
    Keywords : Risk neutral density RND ; Implied volatility; September 2008 stock market crash; Late-2000s financial crisis;

    Abstract : In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. READ MORE

  5. 4. The forecasting ability of implicit risk-neutral density function: A study of planned economic events in Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Land; [2007]
    Keywords : Implicit volatility; Risk-neutral density; Forecasting;

    Abstract : Financial institutions spend large amounts of money on gaining accurate information. The information they acquire is often kept for themselves and used in order to trade and make profits. When they use the information it is though implicitly put into the prices of the instruments. READ MORE

  6. 5. The Relation between information in option prices and short term market return

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henrik Stille; [2005]
    Keywords : option prices; implied volatility; short term return; mean reversion; implied risk neutral density function; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Abstract The purpose of this thesis is to analyze if implied volatility and the implied risk neutral density function can predict short term market return of the Swedish OMX-index. To study the relation between information in option prices and short term market return I perform and OLS-regression with the market return as dependent variable. READ MORE