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1. 1. Assessing the Economic Value of Implied Volatility Estimates

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johannes Ackermann; [2018]
   Keywords : implied volatility; option pricing; modern portfolio theory; GARCH; Markov switching models;

   Abstract : This thesis studies the value of implied volatility estimates for portfolio allocation under the modern portfolio theory (MPT) framework introduced by Markowitz and compares the pricing performances of several common option pricing models. The thesis consists of two parts. READ MORE