Essays about: "Implied Volatility"

Showing result 1 - 5 of 91 essays containing the words Implied Volatility.

  1. 1. The Impact of Scheduled Macroeconomic News Releases on Stock Market Uncertainty

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Stefan Padjen; [2021-09-06]
    Keywords : Implied Volatility; Information; Macroeconomic News; Market Uncertainty; Multiple Testing; VIX;

    Abstract : While prior literature has studied the impact of news releases on different financial markets, the option market has received less attention. The purpose of this paperis to examine the relationship between scheduled macroeconomic news releases and stock market uncertainty in the United States between January 1990 and April 2021. READ MORE

  2. 2. 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

  3. 3. Implied volatility with HJM–type Stochastic Volatility model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Thi Diu Cap; [2021]
    Keywords : Implied volatility surface; stochastic volatility model; HJM framework;

    Abstract : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. READ MORE

  4. 4. Macroeconomic Announcements and Uncertainty Resolving : Empirical Evidence from the Eurozone

    University essay from Umeå universitet/Nationalekonomi

    Author : Mohammad Aljaid; [2021]
    Keywords : ;

    Abstract : Studying and identifying the impact of the macroeconomic news on the uncertainty, measured by the implied volatility index behavior in the European financial market, is the main goal of this study. The macroeconomic variables are regarded in this study are consumer price index CPI, the gross domestic product GDP, employment reports EMP, monetary policy MP, labor cost LC, and the current account for the Eurozone CA. READ MORE

  5. 5. Factors affecting liquidity in the Nordic corporate bond market : A study on MiFiR required post trade transactions

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Lundholm Markus; [2021]
    Keywords : ;

    Abstract : The Nordic corporate bond market is a market growing in significance of the financial landscape, but is rather sparsely investigated due to its low transparency characteristics. Utilizing the new EU legislative framework MiFiR, this study implements a quantitative liquidity measure on transactions reported as required by MiFiR. READ MORE