Essays about: "Dennis Facius"
Found 1 essay containing the words Dennis Facius.
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1. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. READ MORE
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