Grant detail

The significance of the model-free implied volatility in option markets and the ability of option prices to foresee the shocks in financial markets

Principal investigator: Mgr. Michaela Vlasáková-Baruníková (Hlínková)
Collaborators:
Description: The true nature of option contracts indicates that option prices hold a crucial information about the expectations of investors in the financial markest. More precisely, the volatility implicit in the option prices is the input in the prediction models for the underlying assets prices Hence the first goal of our project is to simulate the prediction of the prices of the underlying with use of the combination of the most recent method of the extraction of model free implied volatility and neural networks. Second part of the project is to evaluate the ability of the option prices to foresee the shocks in the financial markets in the short-run, on the cross-sectional option data from the most liquid markets on various underlyings.
Participation:
Work in grant:
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Finance:
End date: 2012
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Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance