option volatility and pricing mouna haddadi phd student faculty of science and technology of marrakesh cadi ayyad university morocco youngwomeninprobability2014 abstract part 1 historical volatility part 2 implied volatility this ...
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...Option volatility and pricing mouna haddadi phd student faculty of science technology marrakesh cadi ayyad university morocco youngwomeninprobability abstract part historical implied this poster discusses three types the thehistorical reects past price movements under is often interpreted as estimation future stochastic concept local finally lying asset it calculated a standard deviation stock s returns means that anticipated by formula vanilla options with model such over xed number days market maker in other words value equalizes heston presented estimate starting from data black scholes observed prices on n thenumberof observations at time t impl c k u return introduction duration intervals year then wecan nd an european call using risk neutral study certain nancial assets became very im ln portant subject nance importance comes possibility valuation method i e considering corresponds to measuretheuncertaintyofevolutionoftheyieldonanasset shareor for its expected discounted theestim...