Warrants and volatility: An Empirical Study of Volatility Estimation Models on the European Warrant Exchange
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
This study comprise a comparison between three volatility estimation models, the Implied Standard Deviation (ISD) using the Cox-Rubinstein binomial model (1979), the Parkinson Extreme Value Estimator (1980) and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH(1,1)) model of Bollerslev (1986). The models are compared with the actual volatility using four different time frames of three, six, twelve and eighteen months, with a sample of 31 warrants (COV´s) issued on the European Warrant Exchange (EUWAX) during the year 2000.
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IdentifiersURN: urn:nbn:se:su:diva-3786OAI: oai:DiVA.org:su-3786DiVA: diva2:193155