Essays about: "implied volatility surface"
Showing result 6 - 10 of 14 essays containing the words implied volatility surface.
-
6. Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. READ MORE
-
7. The Calibrated SSVI Method - Implied Volatility Surface Construction
University essay from KTH/Matematisk statistikAbstract : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. READ MORE
-
8. Smile! It increases your face value
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis examines some of the multiple variations of the previously established Rules of Thumb; which are used in attempting to explain implied volatility sur- faces. Here, these Rules are extensively tested on the Swedish stock market index (OMXS30) using rolling window analysis and linear stepwise regressions with for- ward selection. READ MORE
-
9. Implied Volatility Surface Construction
University essay from Umeå universitet/Institutionen för fysikAbstract : Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. READ MORE
-
10. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : Due to recent research disproving old claims in financial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored field of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. READ MORE