Blar i Department of Economics and Finance på forfatter "Jahnsen, Sofie"
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Implied Volatility: A theoretical study on explaining the stylized facts of implied volatility using the utility indifference model.
Jahnsen, Sofie (Master thesis, 2023)The breakthrough Black-Scholes (BS) model predicts a horizontal line when plotting the implied volatility (IV) against the strike price. However, empirical studies uncovered that the implied volatility derived from option ...