Essays about: "covered warrants"
Found 4 essays containing the words covered warrants.
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1. Are implied volatility levels suitable for forecasting? : A study comparing the performance of volatility implied by options and covered warrants with the performance of ARCH forecasts.
University essay from Umeå universitet/NationalekonomiAbstract : This study examines which of the implied volatilities from options and covered warrants with exactly the same terms and cash flows that deviates least from the subsequent week’s realized volatility levels. Their suitability as methods for forecasting is also examined by comparing their predictive abilities with the forecasts of ARCH models. READ MORE
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2. Information efficiency of Swedish warrants- : Empirical tests of warrants quoted on the Swedish plain vanilla market
University essay from IHH, NationalekonomiAbstract : Due to the sharpen regulation of the Swedish plain vanilla warrant in 2006 and the recent increase in trade among private investors, this thesis examined the informa-tion efficiency of Swedish plain vanilla warrants. This was done in three different ways. READ MORE
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3. Volatility in covered warrants - A comparison between EGARCH-forecasted volatility and implied volatility on the Swedish warrant market -
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : "The aim of this thesis is to study the implied volatility on certain warrants on the Nordic Derivatives Exchange and compare it to an EGARCH-forecasted volatility (which throughout the thesis is used as proxy for the true volatility by the authors) in order to see if the difference follows a specific pattern." The difference between the forecasted volatility and the implied volatility fluctuates across moneyness and the lifetime of the warrant. READ MORE
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4. Covered Warrants : How the Implied Volatility Changes Over Time
University essay from IHH, FöretagsekonomiAbstract : Problem: Investors are dependent on the issuers’ valuation of covered warrants because the issuers also act as market makers. Hence it is crucial that the issuers value each of the five variables used in the Black & Scholes pricing formula in the same way at both the buying and selling occasion. READ MORE
