Essays about: "Implied Volatility"

Showing result 11 - 15 of 104 essays containing the words Implied Volatility.

  1. 11. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions

    University essay from KTH/Matematik (Avd.)

    Author : Adam Wuilmart; Erik Harrysson; [2022]
    Keywords : Earnout Contracts; Valuation; Mergers Acquisitions; Private Equity; Monte Carlo Simulation; Contingent Considerations; Tilläggsköpeskilling; Värdering; Bolagsförvärv; Black-Scholes; Monte Carlo Simulering; Optioner;

    Abstract : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. READ MORE

  3. 12. Perpetual American Options and ImpliedVolatility

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Ebba Mellquist; [2022]
    Keywords : ;

    Abstract : This thesis analyzes perpetual American options and in particular aimsto identify what kind of behavior the implied volatility of perpetual Americanput options display. Using two different approaches, we derive the valuefunction for the American put option. READ MORE

  4. 13. 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 paper is 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

  5. 14. 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

  6. 15. Pricing Complex derivatives under the Heston model

    University essay from KTH/Matematik (Avd.)

    Author : Omar Naim; [2021]
    Keywords : Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Abstract : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. READ MORE