Studies on implied volatility from option prices.

• Main Authors: Quek, Daniel Tian Boon., Teo, Wei Zheng., Wong, Shan Jing.
• Other Authors: Cheang Hock Lye, Gerald
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Options
• Online Access: http://hdl.handle.net/10356/15030
• Institution: Nanyang Technological University

Implied volatility is an elusive attribute in the Black-Scholes Model that is unobservable, yet important for investors to price options. The objective of our study is to study and make reasonable claims on the trends we observed from our results, primarily derived from data in the Asian and US mark...