Essays about: "Dennis Elgegren"

Found 1 essay containing the words Dennis Elgegren.

  1. 1. Smile! It increases your face value

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anton Evilevitch; Dennis Elgegren; [2019]
    Keywords : Implied Volatility Surface; Rules of Thumb; European Option Contracts; Walk Forward Analysis; Stepwise Procedure; Business and Economics;

    Abstract : This thesis examines some of the multiple variations of the previously established Rules of Thumb; which are used in attempting to explain implied volatility sur- faces. Here, these Rules are extensively tested on the Swedish stock market index (OMXS30) using rolling window analysis and linear stepwise regressions with for- ward selection. READ MORE