Zobrazeno 1 - 10
of 12
pro vyhledávání: '"implikovaná volatilita"'
Publikováno v:
E+M Ekonomie a Management. 24:135-145
The aim of this study is to examine the volatility smile based on the European options on Shanghai stock exchange 50 ETF. The data gives evidence of the existence of a well-known U-shaped implied volatility smile for the SSE 50 ETF options market in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::61a82b4c4bc8ceb827475a7105293a4a
https://doi.org/10.15240/tul/001/2021-1-009
https://doi.org/10.15240/tul/001/2021-1-009
Autor:
Hanzal, Martin
Implied volatility obtained from market option prices is widely regarded as an efficient predictor of future realised volatility. Implied volatility can be thought of as market's expectation of future realised volatility. We distinguish between volat
Externí odkaz:
http://www.nusl.cz/ntk/nusl-358955
Autor:
Hanzal, Martin
Implied volatility obtained from market option prices is widely regarded as an efficient predictor of future realised volatility. Implied volatility can be thought of as market's expectation of future realised volatility. We distinguish between volat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2186::c6c676803b7b001e5a2701c5ac41d899
http://www.nusl.cz/ntk/nusl-358955
http://www.nusl.cz/ntk/nusl-358955
Autor:
Krejčí, Kateřina
The thesis deals with the estimation of risk-neutral probability density functions from option prices. It focuses on smoothing techniques that are applied to volatility smile. Theoretical part describes the estimation principle and presents some solu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2186::2b95e85e4694d718be801793c36b883c
http://www.nusl.cz/ntk/nusl-361334
http://www.nusl.cz/ntk/nusl-361334
Autor:
Jahn, Daniel
This text presents an analysis of constrained local polynomial estimation used to extract the implied volatility smile from options data. The optimization constraint derived from the state price density ensures the no arbitrage condition. The analysi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2186::a5aa2df0497872566740912e3250ad83
http://www.nusl.cz/ntk/nusl-343322
http://www.nusl.cz/ntk/nusl-343322
Autor:
Coufalík, Jan
The aim of this diploma thesis is to analyze and implement selected option pricing models using statistical software. The first chapter introduces theoretical basics of options as financial instruments ideal for hedging and speculation. The second ch
Externí odkaz:
http://www.nusl.cz/ntk/nusl-199783
Autor:
Gříšek, Lukáš
This diploma thesis describes problem of change-points in volatility of the time-series and their impact on price of nancial assets. Those change-points are estimated by using statistical methods and tests. Change-point estimation was tested on simul
Externí odkaz:
http://www.nusl.cz/ntk/nusl-113803
Autor:
Varga, Lukáš
This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market
Externí odkaz:
http://www.nusl.cz/ntk/nusl-113592
Autor:
Coufalík, Jan
The aim of this diploma thesis is to analyze and implement selected option pricing models using statistical software. The first chapter introduces theoretical basics of options as financial instruments ideal for hedging and speculation. The second ch
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2186::6c4b3133a9ff02015e3782fccbae84aa
http://www.nusl.cz/ntk/nusl-199783
http://www.nusl.cz/ntk/nusl-199783
Autor:
Varga, Lukáš
This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2186::3a3b536258f5902dbb0516fcf226b63b
http://www.nusl.cz/ntk/nusl-113592
http://www.nusl.cz/ntk/nusl-113592