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The Impact of Derivatives Trading on the volatility of S&P500 and its implied volatility


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Title: The Impact of Derivatives Trading on the volatility of S&P500 and its implied volatility
Authors: Mastrantonio, Massimo
Issue Date: 6-Dec-2018
Degree: Master 2-years
Series/Report no.: Master Degree Project
2018:148
Abstract: Research on the relationships between spot volatility and trading exchange in the financial markets has been and still is the heart of great attention by scholars of econo-metrics, finance and statistics. The purpose of this thesis is to examine the movements of the underlying spot volatility and the CBOE Volatility Index, known as VIX Index, in the American Stock exchange market after the introduction of linear and non-linear derivatives trading activities on the Standard & Poor’s 500. In order... more
Description: MSc in Finance
URI: http://hdl.handle.net/2077/58279
Appears in Collections:Master theses

 

 

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