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Determinants of Implied Volatility Movements in Equity Options
Jezik
Engleski
Engleski
Knjiga
Meki uvez
This book introduces the idea of volatility as an asset class. Implied Volatility for individual U.S...
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Libristo kod: 06840456
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This book introduces the idea of volatility as an asset class. Implied Volatility for individual U.S. Stocks are examined extensively. The first chapter defines the notion of implied volatility movements and its interaction with fundamental variables related to the underlying stocks. The second chapter introduces a stochastic implied volatility model for U.S. Stocks and shows how most stocks react to one easily measured common factor. This factor is very robust and liquid to trade. The final chapter examines the risk premia in straddle returns and how to hedge an options portfolios implied volatility risk.
Informacije o knjizi
Puni naziv
Determinants of Implied Volatility Movements in Equity Options
Autor
Christopher Angelo
Jezik
Engleski
Engleski
Uvez
Knjiga - Meki uvez
Datum izdanja
2011
Broj stranica
60
EAN
9783639338348
ISBN
3639338340
Libristo kod
06840456
Nakladnici
VDM Verlag
Težina
100
Dimenzije
152 x 229 x 4
