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Equity derivatives markets

by Detlefsen, Kai

Abstract (Summary)
Since the ideas of arbitrage free pricing were born, finance has changed radically - both in theory and practice. Derivatives markets have evolved and options serve nowadays as underlyings and as hedging instruments. In this thesis, we consider some markets for equity derivatives. We start by statistical analysis of the markets for European options and variance swaps because these products are important for hedging more complex claims. Then we consider different option pricing models and their calibration to observed price surfaces. Finally, we investigate the connection between option prices and the fundamental economic concept of risk aversion by the empirical pricing kernel.
This document abstract is also available in German.
Bibliographical Information:

Advisor:

School:Humboldt-Universität zu Berlin

School Location:Germany

Source Type:Master's Thesis

Keywords:Aktienderivate Varianzswap Preiskern equity derivatives implied volatility surface variance swap empirical pricing kernel QK 660

ISBN:

Date of Publication:10/19/2007

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