Essays about: "Johan Blomkvist"

Found 1 essay containing the words Johan Blomkvist.

  1. 1. Predicting the smile: A study on the properties of the volatility surface of S&P Composite 500 Index option

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Blomkvist; Viktor Berggren; [2010]
    Keywords : Implied volatility; Volatility smiles; Volatility surface; Options;

    Abstract : The classic Black-Scholes model on option pricing from 1973 has been a widely debated and scrutinized theory over the past decades. Despite its proved limitations and simplifications, it remains as the most used pricing model of public traded options today. READ MORE