Implied Volatility Functions

Name: Implied Volatility Functions
Brand: LAP Lambert Academic Publishing
SKU: 9783843382328
Price: 236.02 RON
Availability: InStock

Evidence from Finnish Warrant Market

Autor: Veli-Matti Ahoranta

Limbă:

Legare: Carte broșată

Editura: LAP Lambert Academic Publishing

Disponibilitate: În depozitul extern

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236.02 lei

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

Informații despre carte

Autor

Veli-Matti Ahoranta

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2010

Pagini

EAN

9783843382328

Enbook ID

06856729

Editura

LAP Lambert Academic Publishing

Greutate

125

Dimensiuni

150 x 220 x 4

Descriere completă

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

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Descriere completă

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