Download PDF Introduction Options are among the most information-rich instruments in financial markets. Unlike traditional asset classes, such as equities or bonds, whose prices reflect a single point estimate of value, options are priced across a continuum of strikes and maturities, which means they embed an entire probability distribution over Read more…
Download PDF Introduction One of the biggest concerns regarding participants in the market is volatility. Through the years there have been different ways to model volatility in the market, starting with Black-Scholes that assumes constant volatility. Multiple major models have been developed at the scope of modelling volatility as a Read more…
“Fear tends to manifest itself much more quickly than greed, so volatile markets tend to be on the downside. In up markets, volatility tends to gradually decline.” Philip Roth Introduction As options and other products whose price depends on volatility have become widespread, studying its behaviour is now a key Read more…