Sökning: "Option implied information"

Hittade 4 avhandlingar innehållade orden Option implied information.

  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

  3. 2. Calibration, Optimality and Financial Mathematics

    Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

    Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER

  4. 3. Option Pricing and Bayesian Learning

    Författare :Ola Jönsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Bayesian learning; Volatility smile; Economics; Polya urn model; economic theory; econometrics; economic systems; Nationalekonomi; economic policy; Finansiering; Financial science;

    Sammanfattning : This thesis consists of three chapters devoted to both empirical and theoretical aspects of option pricing. The first chapter investigates the market for European options on the Swedish OMX index using daily data for the period 1993-2000. LÄS MER

  5. 4. Essays in empirical finance

    Författare :Magnus Andersson; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. LÄS MER