Essays about: "Gabriel Wannes"

Found 1 essay containing the words Gabriel Wannes.

  1. 1. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gabriel Wannes; Nihat Anwar; [2021]
    Keywords : Political uncertainty; Options; Implied volatility; Sectors;

    Abstract : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. READ MORE