Identifier
etd-11082016-015550
Degree
Master of Science (MS)
Department
Mathematics
Document Type
Thesis
Abstract
This paper develops several methods to estimate a future volatility of a stock in order to correctly price corresponding stock options. The pricing model known as Black-Scholes-Merton is presented with a constant volatility parameter and compares it to stochastic volatility models. It mathematically describes the probability distribution of the underlying stock price changes implied by the models and the consequences. Arbitrage opportunities between stock options of various maturities or strike prices are explained from the volatility smile and volatility term structure.
Date
2016
Document Availability at the Time of Submission
Release the entire work immediately for access worldwide.
Recommended Citation
Boffetti, Mikael, "Option Volatility & Arbitrage Opportunities" (2016). LSU Master's Theses. 4580.
https://repository.lsu.edu/gradschool_theses/4580
Committee Chair
Sengupta, Ambar
DOI
10.31390/gradschool_theses.4580