Essays about: "S P 500 index options"
Showing result 11 - 14 of 14 essays containing the words S P 500 index options.
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11. Model risk quantification in option pricing
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. READ MORE
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12. Predictive Power of the Volatility Smile
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The Black-Scholes option pricing formula yield lower volatility than volatility observed in the market when looking at option prices. Several theories have been presented to explain this phenomenon and how the world of finance can use this information. READ MORE
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13. 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 ekonomiAbstract : 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
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14. Additional Information in Higher Order Derivatives of the Black-Scholes Formula
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Volatility smile arising from the Black-Scholes model is a long studied subject in option pricing theory. By analysing higher order derivatives of the model, I hope to put another perspective to the problem. READ MORE