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Implied Volatility Functions


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  • Product Description
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
Product Specifications
SKU :COC10286
AuthorVeli-Matti Ahoranta
Number of Pages72
Publishing Year12/07/10
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-14 00:00:00
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