Essays about: "implied volatility expansion"

Found 2 essays containing the words implied volatility expansion.

  1. 1. Implied volatility expansion under the generalized Heston model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Hanna Andersson; Ying Wang; [2020]
    Keywords : Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

    Abstract : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. READ MORE

  3. 2. Derivative market: efficient option pricing models and predictive informational content

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martins Feldmanis; Juris Rumba; [2012]
    Keywords : Volatility surface; Implied volatility and its informational content; Put Call volume ratio; Model-Free implied volatility; Gram-Charlier Expansion;

    Abstract : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. READ MORE