Essays about: "Tobias Nordahl"

Found 1 essay containing the words Tobias Nordahl.

  1. 1. When to expect decreasing implied volatilities

    University essay from Uppsala universitet/Matematiska institutionen

    Author : Tobias Nordahl; [2020]
    Keywords : finansiell matematik; volatilitet; implicit volatilitet; lokal volatilitet;

    Abstract : In this report the goal is to investigate general properties of implied volatility such as the relationship between implied volatility and local volatility as well as the relationship between implied volatility and the sign of the jumps in jump-diffusion models. More specific the question to investigate is whether the implied volatility is decreasing as the strike price increases under the assumption that the market is pricing under a monotonically decreasing local volatility model. READ MORE