Volatility forecasting and efficiency of the Swedish call options market:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Göteborg
Nationalekonomiska Inst.
1995
|
| Schriftenreihe: | Ekonomiska studier
57 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VII, 168 S. graph. Darst. |
| ISBN: | 9188514161 |
Internformat
MARC
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| 100 | 1 | |a Andersson, Göran |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Volatility forecasting and efficiency of the Swedish call options market |c Göran Andersson |
| 264 | 1 | |a Göteborg |b Nationalekonomiska Inst. |c 1995 | |
| 300 | |a VII, 168 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 490 | 1 | |a Ekonomiska studier |v 57 | |
| 502 | |a Zugl.: Göteborg, Univ., Diss., 1995 | ||
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Datensatz im Suchindex
| _version_ | 1804125053518872576 |
|---|---|
| adam_text | Contents
Page
Abstract j
Preface m
Abbreviations vjj
Chapter 1. Introduction 1.1 Background 1.2 Research Issues ;
1.3 Outline of the Study i
Chapter 2. The Swedish Market Place f
2.1 History j
2.2 Option Trading at OM Gruppen AB (OM) 8
2.2.1 The Market Structure 9
2.2.2 The Market Place ~Z . . . . 5
2.2.3 The Clearing Central 1
2.3 Characteristics of Option Contracts of OM 1
References 1
Chapter 3. The Black Scholes Model l4
3.1 Introduction 1
3.2 The Black Scholes Pricing Model for European Call Options
3.3 Empirical Tests of Alternative Option Pricing Models
3.3.1 Criticism of the Assumptions Underlying the Black Scholes Model
3.3.2 Empirical Results of Option Model Evaluation
References 3
Chapter 4. A Simulation Study of Different Extreme Value
Variance Estimators 3 8
4.1 Introduction 38
4.2 Reason for Adjusting Extreme Value Variance Estimators for Non
trading 40
4.3 The Correction Procedure 43
4.4 Presentation of the Variance Estimators to be Evaluated 44
4.5 Earlier Empirical Results from Evaluating Extreme Value Variance
Estimators 48
4.6 The Simulation Study 49
4.7 Conclusions 56
4.8 Applications of the Results of the Simulatons 56
Appendix A—The Brownian Motion and Variance of Returns on
Financial Assets 60
References 62
Chapter 5. An Evaluative Study of Different Volatility
Predictors 63
5.1 Introduction 63
5.2 Definition of Volatility 66
5.3 Estimating the Volatility — Different Approaches 66
5.3.1 Ex Post Volatility Estimators 67
5.3.2 Ex Ante Volatility Estimators 75
5.4 How to Evaluate the Predictive Abilities of Different Volatility
Estimators 81
5.4.1 The Benchmark Method 82
5.4.2 The Forecast Rationality Method 84
5.4.3 The %2 Method 88
5.4.4 The Direction Method 89
5.5 Empirical Evidence of Volatility Evaluation 90
5.6 Presentation of the Results From the Evaluation Tests on Swedish
Data 93
5.6.1 Results From the Benchmark Method 94
5.6.2 Results From the Forecast Rationality Method 97
5.7 Conclusions 10(
Appendix A — Constructing GARCH Volatility Predictions lfr
v
Al The data 1
A2 Statistical Behaviour of the Return Series 1
A3 Determining the GARCH(p,q) Specification 1
A4 Estimating and Predicting the Volatility — Do We Need to Adjust
for Autocorrelation? 1
References 1
Chapter 6. Specific Form Tests of Market Efficiency 126
6.1 Introduction li
6.2 The Efficiency Concept 1
6.3 Testing Methodology 1:
6.4 Trading Strategies 1
6.4.1 Uncovered Positions 1
6.4.2 Hedged Positions 1
6.4.3 Spread Positions 1
6.5 Creation of a Riskless Hedge ¦
6.6 The Data 1
6.7 Tests of the EMH on OM 1
6.7.1 Results From the Ex Ante Hedging Test !•
6.7.2 Results From the Ex Ante Spreading Test N
6.8 Conclusions From the Specific Form of Efficiency Tests 14
References M
Chapter 7. General Form Tests of Market Efficiency I49
7.1 Introduction ^
7.2 Empirical Evidence From Tests of Lower Boundary Conditions ^
7.3 The data I5
7.4 Tests of Boundary Conditions on Swedish Data ^
7.4.1 Tests of the Lower Boundary Conditions Al. 2 and Al. 3 l5
7.4.2 Test of Lower Boundary Condition A1.3 Using Transactions Data ^
7.5 Summary and conclusion of the general form test of efficiency l5
Appendix A — General Arbitrage Conditions for Pricing Call Options l6
Appendix B — Transactions Costs 1*
References K
vi
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| geographic | Schweden (DE-588)4077258-5 gnd |
| geographic_facet | Schweden |
| id | DE-604.BV010584018 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:55:27Z |
| institution | BVB |
| isbn | 9188514161 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007056658 |
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| physical | VII, 168 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| publisher | Nationalekonomiska Inst. |
| record_format | marc |
| series | Ekonomiska studier |
| series2 | Ekonomiska studier |
| spelling | Andersson, Göran Verfasser aut Volatility forecasting and efficiency of the Swedish call options market Göran Andersson Göteborg Nationalekonomiska Inst. 1995 VII, 168 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Ekonomiska studier 57 Zugl.: Göteborg, Univ., Diss., 1995 Optioner Volatilität (DE-588)4268390-7 gnd rswk-swf Optionsmarkt (DE-588)4381644-7 gnd rswk-swf Schweden (DE-588)4077258-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schweden (DE-588)4077258-5 g Optionsmarkt (DE-588)4381644-7 s Volatilität (DE-588)4268390-7 s DE-604 Ekonomiska studier 57 (DE-604)BV000011510 57 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007056658&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Andersson, Göran Volatility forecasting and efficiency of the Swedish call options market Ekonomiska studier Optioner Volatilität (DE-588)4268390-7 gnd Optionsmarkt (DE-588)4381644-7 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4381644-7 (DE-588)4077258-5 (DE-588)4113937-9 |
| title | Volatility forecasting and efficiency of the Swedish call options market |
| title_auth | Volatility forecasting and efficiency of the Swedish call options market |
| title_exact_search | Volatility forecasting and efficiency of the Swedish call options market |
| title_full | Volatility forecasting and efficiency of the Swedish call options market Göran Andersson |
| title_fullStr | Volatility forecasting and efficiency of the Swedish call options market Göran Andersson |
| title_full_unstemmed | Volatility forecasting and efficiency of the Swedish call options market Göran Andersson |
| title_short | Volatility forecasting and efficiency of the Swedish call options market |
| title_sort | volatility forecasting and efficiency of the swedish call options market |
| topic | Optioner Volatilität (DE-588)4268390-7 gnd Optionsmarkt (DE-588)4381644-7 gnd |
| topic_facet | Optioner Volatilität Optionsmarkt Schweden Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007056658&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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