Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 74 for “"Implied volatility"”.
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Implied volatility: general properties and asymptotics
This thesis investigates implied volatility in general classes of stock price models. To begin with, we take a very general view. We find that implied volatility is always, everywhere, and for every expiry well-defined only if the stock price is a non-negative martingale. We also derive sufficient …
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Estimating Long Term Equity Implied Volatility
Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid …
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Extracting risk aversion estimates from option prices/implied volatility
… neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the …
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Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?
… observations and at-the-money (ATM) put and call implied volatilities of the corresponding prices for the period from 1/16/2008 to 7/29/2011. The statistical approach employs dynamic log-returns quantile regression models to forecast price densities using implied volatilities (IVs) and factors …
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The Impact of Loss Aversion and Market Sentiment on Implied Volatility Skews.
… of Loss Aversion and Investor Sentiment on Implied Volatility Skews” examines how market participants’ behaviour influences the pricing of equity options. Option Pricing has historically been a purely neoclassical topic, however, articles which link option pricing to behavioural finance are …
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Markov-Switching models and resultant equity implied volatility surfaces: a South African application
… the discussed option theory to create various implied volatility surfaces. The surfaces produced appear to obey some of the empirical observations and theoretical ideas around expected implied volatility surfaces, indicating that the Markov-Switching model has some value for option pricing.
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An Investigation of Overreaction via Implied Volatility and a Comparison between Tracking Stocks and Carve-Outs as a Restructuring Choice
… between value stocks and growth stocks using the implied volatility from option prices. Applying Stein's (1989) mean reversion model and Heynen, Kemna, and Vorst's (1994) GARCH and EGARCH methods, I compare the theoretical and empirical measures of reaction of longterm options in respect to …
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The Performance of implied volatility in forecasting future volatility : an analysis of three major equity indices from 2004 to 2010
In this thesis, we investigate whether implied volatility is an efficient estimator of future one-month volatility from an informational perspective and whether it outperforms historical volatility in this regard. We first compare the predictive powers of implied volatility, simple historical …
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A Comparison of Implied Standard Deviations and Historical Estimates of Volatility During and After the Participation of the British Pound in the ERM
… of different forecasts of exchange rate volatility depend on the underlying exchange rate regime. By examining the British pound during and after its withdrawal from the European Monetary System (EMS), this analysis compares "backward-looking" historical forecasts of future volatility …
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Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market
… to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are …
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Three essays in options pricing: 1. Volatilities implied by price changes in the S&P 500 options and future contracts 2. Price changes in the S&P options and futures contracts: a regression analysis 3. Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
In this work, I develop a new volatility measure; the volatility implied by price changes in option contracts and their underlyings. I refer to this as implied price change volatility. First, I examine the time series behavior of implied price change volatility and investigate possible moneyness …
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Forecasting Oil Price Volatility
… compares different methods of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a simple …
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Empirical essays on option-implied information and asset pricing
… consists of four empirical essays on option-implied information and asset pricing in the US market.The first essay examines the predictive ability of option-implied volatility measures proposed by previous studies by using firm-level option and stock data. This essay documents significant …
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Modelling Equities with a Stochastic Volatility Jump Diffusion
The Bates model provides a parsimonious fit to implied volatility surfaces, and its usefulness in developed markets is well documented. However, there is a lack of research assessing its applicability to developing markets. Additionally, research surrounding its usefulness for hedging long term …
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The Bates model : Fourier Transform for option pricing under jump-diffusions in the South African market
… using Fourier Transforms and obtain the implied volatility surface from these option prices.
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Currency trios - using geometric concepts to visualise and interpret relationships between currencies
… is particularly useful when dealing with implied data as it allows the calculation of implied correlation using implied volatility. This is valuable as implied volatility is frequently quoted in the foreign exchange market; whereas, implied correlation is not directly quoted and is more …
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Testing of an Arbitrage-free Volatility Surface
… is an arbitrage-free parameterization of an implied volatility surface proposed by Antonov, Konikov and Spector (2019). This dissertation aims to investigate the additional benefits provided by using the Ensemble Carr-Pelts surface as opposed to the standard Carr-Pelts surface. We also show …
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Extreme-Strike and Small-time Asymptotics for Gaussian Stochastic Volatility Models
<p>Asymptotic behavior of implied volatility is of our interest in this dissertation. For extreme strike, we consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting …
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