Essays about: "implied volatility for options"

Showing result 1 - 5 of 38 essays containing the words implied volatility for options.

1. 1. Does Implied- or Historical Volatility predict Realized Volatility? : An empirical study conducted to find evidence for which out of historical volatility or implied volatility better forecasts the future volatility.

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

   Author : Gustav Sjöberg; Gustav Oom; [2023]
   Keywords : Implied volatility; historical volatility; realized volatility;

   Abstract : This study tests if historical volatility- and implied volatility has significant predictive power over future realized volatility and if so which one of the two is the superior predictor. The study is conducted by using historical volatility of the OMXS30 and implied volatility from OMXS30 call options during the period 2012-2023. READ MORE

3. 2. 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

4. 3. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   University essay from KTH/Matematik (Avd.)

   Author : Simon Wahlberg; [2022]
   Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

5. 4. 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

6. 5. Perpetual American Options and ImpliedVolatility

   University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

   Author : Ebba Mellquist; [2022]
   Keywords : ;

   Abstract : This thesis analyzes perpetual American options and in particular aimsto identify what kind of behavior the implied volatility of perpetual Americanput options display. Using two different approaches, we derive the valuefunction for the American put option. READ MORE