Essays about: "volatility model valuation"

Showing result 1 - 5 of 26 essays containing the words volatility model valuation.

  1. 1. Option Pricing Under the Markov-switching Framework Defined by Three States

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation; Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Minna Castoe; Teo Raspudic; [2020]
    Keywords : Option pricing; Markov-switching framework; Markov chain; Stochastic volatility Monte carlo simulation;

    Abstract : An exact solution for the valuation of the options of the European style can be obtained using the Black-Scholes model. However, some of the limitations of the Black-Scholes model are said to be inconsistent such as the constant volatility of the stock price which is not the case in real life. READ MORE

  2. 2. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Abstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE

  3. 3. The predictive power of stock style: size, value-growth orientation and the shape of the future return distribution

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Eoin Gallagher; Dmitry Tanazhko; [2019]
    Keywords : Return predictability; Stock size; Stock valuation; Skewness; Morningstar;

    Abstract : While there has been extensive research trying to explain the variability in the cross-section of expected stock returns, the predictability of other shape characteristics of the future return distribution is a less studied subject. This thesis investigates the relationship between the size and value-growth orientation of stocks (as measured according to Morningstar) and the shape parameters of their future returns. READ MORE

  4. 4. Analysis of Cryptocurrency Market and Drivers of the Bitcoin Price : Understanding the price drivers of Bitcoinunder speculative environment

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Yasar Kaya; [2018]
    Keywords : bitcoin; speculation; weekend-effect; bitcoin price drivers; LPPL; GoTrend; VIX; speculative bubbles; bitcoin price movements; volatility in cryptocurrency market;

    Abstract : In this paper, the price fluctuations of Bitcoin under speculative environment is studied. It has been seen that the market trend points out an existence of a speculative bubble. Over the course of the period from 2014 to 2018, the trend in price movements of bitcoin has proved to be strongly speculative. READ MORE

  5. 5. Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation; Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Nathaniel Ahy; Mikael Sierra; [2018]
    Keywords : Implied Volatility; Stochastic Volatility; Implied Volatility Surfaces; European Options; Moore-Penrose Inverse; ;

    Abstract : 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