A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options
| Öström, Eric | ||
| University of Gothenburg/Graduate School | eng | |
| Göteborgs universitet/Graduate School | swe | |
| 2016-05-23T13:05:42Z | ||
| 2016-05-23T13:05:42Z | ||
| 2016-05-23 | ||
| MSc in Finance | sv | |
| In this paper I construct a model-free implied volatility index, SVIX, from OMXS30 options based on a variance replication technique, independent of any option pricing model. The SVIX index exhibits several stylized properties of volatility indices such as long memory components, mean reversion and volatility clustering. The relationship between OMXS30 returns and SVIX is negative, with some indication of an asymmetric component. There is some evidence that implied volatility, represented among other by SVIX, is superior to historical volatility in predicting future volatility and there is a contemporaneous volatility transmission between VIX and SVIX. In addition, I construct another index, SSVIX, based on simple variance swap replication which can be hedged and priced even if we allow for jumps in the underlying asset. | sv | |
| http://hdl.handle.net/2077/44287 | ||
| eng | sv | |
| Master Degree Project | sv | |
| 2015:127 | sv | |
| SocialBehaviourLaw | ||
| A Swedish Model-Free Implied Volatility Index constructed from OMXS30 options | sv | |
| Text | ||
| Master 2-years | ||
| H2 |