Essays about: "Davide Brugola"

Found 1 essay containing the words Davide Brugola.

  1. 1. 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