Essays about: "Implied Volatility"
Showing result 6 - 10 of 104 essays containing the words Implied Volatility.
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6. Volatility & The Black Swan : Investigation of Univariate ARCH-models, HARRV and Implied Volatility in Nasdaq100 amid Covid19
University essay from Uppsala universitet/Nationalekonomiska institutionenAbstract : Covid19 hit the world’s financial markets by surprise in March 2020 and ensuing volatility marked an end to the prior low-volatility environment. This Black Swan engendered numerous publications establishing how the equity market responded to the exogenous shock. READ MORE
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7. Implied and Historical Volatility : An Empirical Study on Their Predictive Power of the Future Volatility on the OMXS30 Index
University essay from Örebro universitet/Handelshögskolan vid Örebro UniversitetAbstract : .... READ MORE
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8. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series
University essay from KTH/Matematik (Avd.)Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE
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9. Options and analysts : A study on the relationship between option implied volatility and analyst consensus recommendations
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : The purpose of our thesis is to examine the relationship between option implied volatility and analyst consensus recommendation revisions. We offer a Swedish perspective on the growing popularity of equity options and its relationship with different stock market participants and returns. READ MORE
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10. The impact of extreme weather events on implied volatility functions of agricultural options
University essay from Umeå universitet/FöretagsekonomiAbstract : The main aim of this thesis is to investigate the impact of extreme weather events on implied volatility functions of agricultural commodity options at different levels of moneyness. The thesis used daily data of the implied volatilties of four major US agricultural commodities at three moneyness levels for the period starting 2017 to 2022. READ MORE