The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach
Zhao, Wenjing (2009) The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach. [Dissertation (University of Nottingham only)] (Unpublished)
The aim of this study is to present a framework to model the implied volatility of the FTSE 100 index options with real time market data, and to present a prototype software that implements this framework. This dissertation seeks to combine the computational knowledge and option pricing literature, to design and implement a new java application for calculation of implied volatilities and henceforth justify the presence of volatility smile.
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