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The Informational Efficiency of OMX Implied Volatility: A Study of the Relation Between Implied and Realised Volatility on the Swedish OMX-Index
Stockholm University, Faculty of Social Sciences, School of Business.
2001 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis has looked at the correlation between OMX implied and future realised volatility over the years 1993 to 2001. Using the B76 model implied volatilities for sample series of time to maturity of 90-, 60- and 30 days have been calculated. To investigate whether differences in implied volatility between call and put options occur, both option types have been included in the test. To add yet another dimension, the samples series were divided into different moneyness groups, as it has been observed that options of different moneyness are assigned different volatilities. The results can be summarised as follows:

Place, publisher, year, edition, pages
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Business Administration
URN: urn:nbn:se:su:diva-2793OAI: diva2:191873
Available from: 2007-01-05 Created: 2007-01-05

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