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Prognosverktyg för implicit volatilitet: En volatilitetsstudie på Ericsson
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2000 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

I uppsatsen undersöks möjligheten att med hjälp av olika prognosverktyg estimera framtida implicit volatilitet. I studien undersöks LME-B köpoption med lösenpris 125 och lösendatum 001215. Estimatorerna jämförs med verkligt utfall och prognosförmågan prövas genom benchmarkmetoden samt en korrelationsanalys. Vi finner att framtida implicit volatilitet bäst estimeras med hjälp av historisk implicit volatilititet med 20 dagars flytande medelvärde, AISD20.

Place, publisher, year, edition, pages
2000.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-2079OAI: oai:DiVA.org:su-2079DiVA: diva2:190961
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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