Implied volatility surface dynamics around merger announcements: empirical evidence from U.S. equity option market
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URL
Journal Title
Journal ISSN
Volume Title
School of Business |
Master's thesis
Authors
Date
2020
Department
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
61
Series
Description
Thesis advisor
Nyberg, PeterKeywords
implied volatility surface, merger, functional principal component analysis, option market