Essays about: "model-free implied volatility"

Found 3 essays containing the words model-free implied volatility.

1. 1. A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options

   University essay from Göteborgs universitet/Graduate School

   Author : Eric Öström; [2016-05-23]
   Keywords : ;

   Abstract : In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. READ MORE

3. 2. Derivative market: efficient option pricing models and predictive informational content

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Martins Feldmanis; Juris Rumba; [2012]
   Keywords : Volatility surface; Implied volatility and its informational content; Put Call volume ratio; Model-Free implied volatility; Gram-Charlier Expansion;

   Abstract : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. READ MORE

4. 3. Model-Free Implied Volatility, Its Time-Series Behavior And Forecasting Ability

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Olena Mickolson; [2010]
   Keywords : implicit volatility; historical volatility; model-free implied volatility; VSMI; VSTOXX; Business and Economics;

   Abstract : Several widely acknowledged stylized statistical facts about the performance of volatility were observed during the analysis. First, the volatility exhibits mean-reversion towards its long-run mean. READ MORE