Essays about: "Put-call parity"

Found 3 essays containing the words Put-call parity.

1. 1. Efficiency of the Swedish Option Market and the Effect of Volatility: A test of conversion and reversal strategies

   University essay from Göteborgs universitet/Graduate School

   Author : Pontus Hägerström; [2017-07-25]
   Keywords : ;

   Abstract : Using Swedish index option spanning the period of 2005 to 2015 the validity of the put-call parity, and thus the efficiency of the option market, has been tested. The impact of volatility on the market efficiency has also been covered in this paper. Theoretical as well as the financial efficiency was tested. READ MORE

3. 2. The implied probability distribution - A study of Swedish equity index options

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johan Ring; [2011]
   Keywords : option-implied risk-neutral probability distribution; volatility smile; equity index options;

   Abstract : This paper examines the option-implied risk-neutral probability distribution for index options traded on the Stockholm market over two decades. The focus is on the method of derivation with the goal of being valuable as a reference for future research as well as being valuable for its results. READ MORE

4. 3. Dynamic and Static Hedging of Barrier options

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Anders Nilsson; Jon Andersson; [2007]
   Keywords : hedging; static; dynamic; barrier; options; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : In this paper the performance of a static hedging strategy of European barrier options are evaluated, first introduced by Carr, Ellis and Gupta in 1998. Two dynamic hedging strategies are used as benchmarks; the delta hedging and delta-gamma hedging strategy, respectively. READ MORE