Essays about: "Mohit Rakyan"

Found 1 essay containing the words Mohit Rakyan.

  1. 1. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dennis Facius; Mohit Rakyan; [2017]
    Keywords : Options; Risk-neutral density; Gauss-Hermite expansion; Skewness;

    Abstract : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. READ MORE