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Does buying pressure affect the smile of FTSE 100 Index options? Implied volatility functions and net buying pressure: evidence around the Brexit referendum
(2019)
Pro gradu - tutkielma
Kokoteksti luettavissa vain Tritonian asiakaskoneilla.
Pro gradu - tutkielma
Kokoteksti luettavissa vain Tritonian asiakaskoneilla.
Using the Brexit referendum event as an exogenous setting, this study examines the presence of implied volatility smile phenomena in the FTSE 100 Index options market, and whether imbalances between supply and demand for ...