Добро пожаловать в клуб

Показать / Спрятать  Домой  Новости Статьи Файлы Форум Web ссылки F.A.Q. Логобург    Показать / Спрятать

       
Поиск   
Главное меню
ДомойНовостиСтатьиПостановка звуковФайлыКнижный мирФорумСловарьРассылкаКаталог ссылокРейтинг пользователейЧаВо(FAQ)КонкурсWeb магазинКарта сайта

Поздравляем!
Поздравляем нового Логобуржца Голуб.Ок. со вступлением в клуб!

Реклама

КНИЖНЫЙ МИР

Implied Volatility Functions   Veli-Matti Ahoranta

Implied Volatility Functions

72 страниц. 2010 год.
LAP Lambert Academic Publishing
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...
 
- Генерация страницы: 0.04 секунд -