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Implied volatility measures

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Murto, Pauli
dc.contributor.advisor Mustonen, Mikko
dc.contributor.author Yli-Niemi, Markus
dc.date.accessioned 2019-04-21T16:01:10Z
dc.date.available 2019-04-21T16:01:10Z
dc.date.issued 2018
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/37516
dc.description.abstract In this thesis the construction of implied volatility measures is considered. Two popular option pricing models, namely Black-Scholes model and Cox-Ross-Rubinstein binomial model, are derived, solved and their inversion is considered to obtain implied volatility estimates. In addition, current market volatility indexes used by practitioners are discussed and Chicago Board Options Exchange's (CBOE) VIX index is derived in detail. Implied volatility measures rely heavily on the underlying assumptions of the option pricing models. In this thesis we assume the underlying asset to follow the geometric Brownian motion. The geometric Brownian motion is derived and the implications of the motion are discussed. Also, other assumptions in the pricing models are discussed. Due to some unrealistic assumptions in the pricing models, implied volatility measures have limitations and problems. These problems are introduced and the ways to alleviate these problems are discussed. en
dc.format.extent 25+3
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Implied volatility measures en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Taloustieteen laitos fi
dc.subject.keyword implied volatility en
dc.subject.keyword CBOE VIX index en
dc.subject.keyword Black-Scholes model en
dc.subject.keyword Cox-Ross-Rubinstein binomial model en
dc.identifier.urn URN:NBN:fi:aalto-201904212637
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Taloustiede en

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