Visualization of financial instruments
61 p.
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2014
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| Online Access: | http://hdl.handle.net/10356/57677 |
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sg-ntu-dr.10356-576772023-05-19T07:23:10Z Visualization of financial instruments Heng Puay Hiong, Ng Tian Tat, Ng Yi Ee Cornelis A. Los Nanyang Business School DRNTU::Business 61 p. Until recently the visualization of financial instruments has been largely limited to two-dimensional representations of data. We have found meaningful multi-dimensional diagrams that aid in the visualization and analysis of various financial instruments. This paper focuses on the visualization of options because of the opportunity to explore the interesting inter-relationships between the determinants of option pricing. Using actual trading data, the multi-dimensional visualization of options revealed the substantial discrepancy between the theoretical and the actual pricing of options. Two ways of computing implied volatilities were compared, the conventional open-ended Black-Scholes "trial-and-error" method and a new closed-form solution method of Bharadia et al. We empirically falsify Bharadia's claim that his formula produces more moderate implied volatility than the conventional trial-and-error method. First, Bharadia's formula produces much more curvature in the volatility smile, so that his volatility is larger particularly for relatively low strike prices. Second, on some days, Bharadia's volatility smile can be empirically shown to be consistently larger than that of the trial-and- error method at all available strike prices. BUSINESS 2014-04-07T10:54:32Z 2014-04-07T10:54:32Z 1997 1997 Final Year Project (FYP) http://hdl.handle.net/10356/57677 Nanyang Technological University application/pdf |
| institution |
Nanyang Technological University |
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NTU Library |
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Asia |
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Singapore Singapore |
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NTU Library |
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DR-NTU |
| topic |
DRNTU::Business |
| spellingShingle |
DRNTU::Business Heng Puay Hiong, Ng Tian Tat, Ng Yi Ee Visualization of financial instruments |
| description |
61 p. |
| author2 |
Cornelis A. Los |
| author_facet |
Cornelis A. Los Heng Puay Hiong, Ng Tian Tat, Ng Yi Ee |
| format |
Final Year Project |
| author |
Heng Puay Hiong, Ng Tian Tat, Ng Yi Ee |
| author_sort |
Heng Puay Hiong, Ng Tian Tat, Ng Yi Ee |
| title |
Visualization of financial instruments |
| title_short |
Visualization of financial instruments |
| title_full |
Visualization of financial instruments |
| title_fullStr |
Visualization of financial instruments |
| title_full_unstemmed |
Visualization of financial instruments |
| title_sort |
visualization of financial instruments |
| publishDate |
2014 |
| url |
http://hdl.handle.net/10356/57677 |
| _version_ |
1772827257798131712 |