Sökning: "Alan J. King"

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1. 1. Optimal Decisions in the Equity Index Derivatives Markets Using Option Implied Information

   Författare :Mathias Barkhagen; Jörgen Blomvall; Alan J. King; Linköpings universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option implied information; Optimal decisions; Equity index derivatives; Stochastic programming; Local volatility surface; Real-world density;

   Sammanfattning : This dissertation is centered around two comprehensive themes: the extraction of information embedded in equity index option prices, and how to use this information in order to be able to make optimal decisions in the equity index option markets. These problems are important for decision makers in the equity index options markets, since they are continuously faced with making decisions under uncertainty given observed market prices. LÄS MER