Analysis and Modelling of Implied Market Parameters
This dissertation addresses market information extraction from option and zero coupon prices, its representation as contingent claim pricing model parameters, and its application in financial parameters analysis and forecast. We analyse implied volatility estimation sensitivity with respect to disco...
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| Format: | Thesis |
| Language: | English |
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Curtin University
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/208 |