Essays about: "moneyness"

Showing result 6 - 10 of 12 essays containing the word moneyness.

1. 6. Information content and pricing of options a jump-diffusion setting

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Kristaps Vasiljevs; [2016]
   Keywords : Merton jump-diffusion model; Calibration; Asian option; Oil; Pricing;

   Abstract : It is believed that information that is incorporated within market prices is accurate and useful. To evaluate this, I, first of all, calibrate the Merton jump-diffusion model to oil options over the period from 2009 to 2015. I show that the retrieved parameters capture market events properly and appropriately. READ MORE

3. 7. The performance of GARCH option pricing models : An empirical study on Swedish OMXS30 call options

   University essay from IHH, Economics, Finance and Statistics

   Author : Donald Harding; [2013]
   Keywords : ;

   Abstract : The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012, which are priced with three specifications of the HestonNandi-GARCH model and then compared to the pricing performance of the BlackScholes model. READ MORE

4. 8. Hedging Effectiveness of Index Options in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Janis Lazdins; Janis Kiploks; [2011]
   Keywords : Black-Scholes-Merton model; Regression-based hedge; Hedging errors; Hedging performance and effectiveness;

   Abstract : We test hedging performance of five different hedging techniques of the OMX Stockholm 30 (OMXS30) call options. Four of the hedging techniques applied are based on the Black-Scholes-Merton (BSM) model and the fifth is a regression-based model that adjusts the original BSM Greeks. READ MORE

5. 9. Black-Scholes Option Pricing Formula - An empirical study

   University essay from Göteborgs universitet/Företagsekonomiska institutionen

   Author : Martin Gustafsson; Erik Mörck; [2010-02-12T08:35:53Z]
   Keywords : Black and Scholes; call option; put option; option pricing; volatility; price difference; pricing error; moneyness; at-the-money; in-the-money; out-of-the-money; deep-in-the-money; deep-out-of-the-money; dividend; risk free interest rate; time to expiry; standard deviation; correlation coefficient; Least-Squares Linear Regression Analysis.;

   Abstract : Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes model by examining the difference between theoretical prices predicted by the model and actual market prices. We will also try to determine whether the accuracy of the model varies with the time left to expiration or the moneyness of an option. READ MORE

6. 10. Volatility in covered warrants - A comparison between EGARCH-forecasted volatility and implied volatility on the Swedish warrant market -

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Felipe Domarchi Veliz; Per Heinrup; [2008]
   Keywords : volatility; EGARCH; Warrants; Black and Scholes; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : "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