Implied volatility surface dynamics around merger announcements: empirical evidence from U.S. equity option market

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Journal Title
Journal ISSN
Volume Title
School of Business | Master's thesis
Date
2020
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
61
Series
Description
Thesis advisor
Nyberg, Peter
Keywords
implied volatility surface, merger, functional principal component analysis, option market
Other note
Citation