Essays about: "volatility model valuation"

Showing result 36 - 39 of 39 essays containing the words volatility model valuation.

1. 36. Valuation of portfolios under uncertain volatility : Black-Scholes-Barenblatt equations and the static hedging

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Anna Kolesnichenko; Galina Shopina; [2007]
   Keywords : volatility; Black-Scholes-Barenbladt; finite differences method;

   Abstract : The famous Black-Scholes (BS) model used in the option pricing theory contains two parameters - a volatility and an interest rate. Both parameters should be determined before the price evaluation procedure starts. Usually one use the historical data to guess the value of these parameters. READ MORE

3. 37. Does equity volatility affect the corporate investment level?

   University essay from Nationalekonomiska institutionen

   Author : Ikran Abdi; [2007]
   Keywords : ;

   Abstract : The paper studies the relation between valuation and corporate investment level. It provides an insight to the q-model and its implications for investment level. By acknowledge the q-model’s empirical shortcomings it questions whether adjustments for volatility will strengthen the q-model empirically. READ MORE

4. 38. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Bujar Huskaj; Sharlett Hanna; [2007]
   Keywords : option pricing; HN GARCH; ad hoc Black-Scholes; Black-Scholes; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This thesis is based on Heston and Nandi’s (2000) paper. The aim is to check how their closed-form discrete-time GARCH option pricing model performs on Swedish data, and if there are any significant changes to its performance when estimating it via maximum likelihood using the Normal- and the Student-t distribution. READ MORE

5. 39. Forecast quality of the Swedish Volatility Index

   University essay from Företagsekonomiska institutionen

   Author : Fredrik Reuterhäll; [2005]
   Keywords : ;

   Abstract : In this paper, I investigate the forecasting power of implied volatility via a new volatility index for the Swedish stock market (SVIX). By implementing the same methodology as the new VIX index originated from CBOE, I examine the information content of implied volatility and appraise the forecast quality of SVIX using two methods. READ MORE