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Volatility Smiles on the Swedish Call Warrant Market
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.
2002 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The existence of market imperfections in the trade of various securities and financial derivatives is a known fact. For call options, several studies have shown that implied volatilities tend to differ across the option’s moneyness and time to expiration (Engström, 2001; MacBeth and Merville, 1979). Until today, no earlier study has examined volatility inconsistencies for warrants on the Swedish market. The aim of this report is to make such an investigation and to determine if call warrants exhibits the same behaviour as call options.

Place, publisher, year, edition, pages
2002.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-3708OAI: oai:DiVA.org:su-3708DiVA: diva2:193068
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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