Essays about: "Martin Theimer"

Found 1 essay containing the words Martin Theimer.

  1. 1. Risk neutral densities and the September 2008 stock market crash: A study on European data

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Misha Wolynski; Martin Theimer; [2011]
    Keywords : Risk neutral density RND ; Implied volatility; September 2008 stock market crash; Late-2000s financial crisis;

    Abstract : In this paper, we aim to determine whether the options market predicted the stock market crash of September 15 2008 or reacted to it. In order to do so, we study volatility smiles and RND functions for the EURO STOXX 50 equity index. READ MORE