Essays about: "at-the-money"

Showing result 1 - 5 of 10 essays containing the word at-the-money.

  1. 1. 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

  3. 2. Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Niclas Samuelsson; [2021]
    Keywords : fixed income; interest rate derivatives; swaption; cap;

    Abstract : Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. READ MORE

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

    University essay from KTH/Matematisk statistik

    Author : Christopher Herron; André Zachrisson; [2020]
    Keywords : 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;

    Abstract : 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. READ MORE

  5. 4. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Davide Brugola; [2019]
    Keywords : single stocks; options; implied volatility skew; jumps; earnings announcements;

    Abstract : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. READ MORE

  6. 5. 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