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Three essays on the valuation of American-style options
Ruas, João Pedro BentoDoctor in Finance/ Classificação: G13 ; Esta tese aborda a avaliac¸ ˜ao de opc¸ ˜oes de estilo Americano, com e sem barreira, em tr ˆes artigos distintos: A. Pricing and Static Hedging of American-style Options under the Jump to Default Extended CEV Model Este artigo avalia (e faz o hedging) de opc¸ ˜oes de estilo Americano atrav´es do static hedge approach (SHP) proposto por Chung and Shih (2009) e estende a ...
Market neutral volatility: a different approach to the S&P 500 options market e...
Ruas, João Pedro BentoMestrado em Finanças ; Under the efficient market hypothesis, an options price’s implied volatility should be the best possible forecast of the future realized volatility of the underlying asset. In spite of this theoretical proposition, a vast number of studies in the financial literature found that implied volatility is a biased estimator of the future realized volatility. These findings suggest that we are ...
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