Implied Volatility Functions

Name: Implied Volatility Functions
Brand: LAP Lambert Academic Publishing
SKU: 9783843382328
Price: 42.52 EUR
Availability: InStock

Evidence from Finnish Warrant Market

Autor: Veli-Matti Ahoranta

Jazyk:

Väzba: Brožovaná

Vydavateľ: LAP Lambert Academic Publishing

Dostupnosť: Skladom u dodávateľa

Odosielame za 8-11 dní

42.52 €

Evidences that there are volatility smiles and smirks in various financial markets suggest that Blac...

Informácie o knihe

Autor

Veli-Matti Ahoranta

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2010

Stránok

EAN

9783843382328

Enbook ID

06856729

Vydavateľ

LAP Lambert Academic Publishing

Hmotnosť

125

Rozmery

150 x 220 x 4

Kompletný popis

Evidences that there are volatility smiles and smirks in various financial markets suggest that Black and Scholes (1973) valuation formula is not completely valid. This thesis investigates implied volatility patterns and functions on Finnish warrant market. The intention of the thesis is to find answers to the three following questions: what is the form of the volatility structure in Finnish warrant markets? Does there exist a better method to estimate volatilities than basic Black-Scholes constant volatility model? In case that there exist a superior method to estimate volatilities, is the method constantly best with every level of moneyness and time to expiration? To find answers to these questions a sample data is gathered from the year 2006 and then it is analysed by using statistical measurements. The analysis provides interesting findings about the existence of volatility structures in Finnish markets and it provides interesting insights to the Finnish warrant markets

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Implied Volatility Functions

Evidence from Finnish Warrant Market

Informácie o knihe

Kompletný popis

Mohlo by vás zaujímať

Zákazníci, ktorí si kúpili túto knihu, kúpili tiež