Essays about: "option implied volatility"

Showing result 1 - 5 of 43 essays containing the words option implied volatility.

  1. 1. There Is Nothing Certain But The Uncertain

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hannes Thorstensson; Carl Tjernberg; [2023]
    Keywords : Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

    Abstract : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. READ MORE

  3. 2. The Predictive Power of Implied Volatility in Option Pricing

    University essay from KTH/Matematisk statistik

    Author : Lovisa Berglund; [2023]
    Keywords : Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Abstract : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. READ MORE

  4. 3. Options and analysts : A study on the relationship between option implied volatility and analyst consensus recommendations

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Ludwig Flank Zetterström; Krenare Salihu; [2022]
    Keywords : Finance; options; option implied volatility; stock recommendations; revisions; information asymmetries;

    Abstract : The purpose of our thesis is to examine the relationship between option implied volatility and analyst consensus recommendation revisions. We offer a Swedish perspective on the growing popularity of equity options and its relationship with different stock market participants and returns. READ MORE

  5. 4. The impact of extreme weather events on implied volatility functions of agricultural options

    University essay from Umeå universitet/Företagsekonomi

    Author : Henry Korba; Samkele Leve; [2022]
    Keywords : ;

    Abstract : The main aim of this thesis is to investigate the impact of extreme weather events on implied volatility functions of agricultural commodity options at different levels of moneyness. The thesis used daily data of the implied volatilties of four major US agricultural commodities at three moneyness levels for the period starting 2017 to 2022. READ MORE

  6. 5. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions

    University essay from KTH/Matematik (Avd.)

    Author : Adam Wuilmart; Erik Harrysson; [2022]
    Keywords : Earnout Contracts; Valuation; Mergers Acquisitions; Private Equity; Monte Carlo Simulation; Contingent Considerations; Tilläggsköpeskilling; Värdering; Bolagsförvärv; Black-Scholes; Monte Carlo Simulering; Optioner;

    Abstract : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. READ MORE