The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach
The aim of this study is to present a framework to model the implied volatility of the FTSE 100 index options with real time market data, and to present a prototype software that implements this framework. This dissertation seeks to combine the computational knowledge and option pricing literature,...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/23210/ |
| _version_ | 1848792530918834176 |
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| author | Zhao, Wenjing |
| author_facet | Zhao, Wenjing |
| author_sort | Zhao, Wenjing |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The aim of this study is to present a framework to model the implied volatility of the FTSE 100 index options with real time market data, and to present a prototype software that implements this framework. This dissertation seeks to combine the computational knowledge and option pricing literature, to design and implement a new java application for calculation of implied volatilities and henceforth justify the presence of volatility smile.
First of all, it will analyse the historical volatility across the FTSE 100 Index option market data and use it as an input to the Black-Scholes pricing formula, then compare the calculated option price with observed market price to justify the discrepancy produced by different volatility inputs. Secondly, it will calculate the implied volatility from the observed market price by inverting the Black-Scholes pricing formula and thus enabling us to analyse the presence of volatility smile.
The software developed during the process is based on java programming and will be the most important part of the dissertation output. It can be used by fellow students or researchers to simulate similar calculations in the future. Therefore, this dissertation would be a comparative study on implied volatility facilitated by computational methods based on the data from the UK financial markets. |
| first_indexed | 2025-11-14T18:45:53Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-23210 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:45:53Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-232102018-02-16T14:02:36Z https://eprints.nottingham.ac.uk/23210/ The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach Zhao, Wenjing The aim of this study is to present a framework to model the implied volatility of the FTSE 100 index options with real time market data, and to present a prototype software that implements this framework. This dissertation seeks to combine the computational knowledge and option pricing literature, to design and implement a new java application for calculation of implied volatilities and henceforth justify the presence of volatility smile. First of all, it will analyse the historical volatility across the FTSE 100 Index option market data and use it as an input to the Black-Scholes pricing formula, then compare the calculated option price with observed market price to justify the discrepancy produced by different volatility inputs. Secondly, it will calculate the implied volatility from the observed market price by inverting the Black-Scholes pricing formula and thus enabling us to analyse the presence of volatility smile. The software developed during the process is based on java programming and will be the most important part of the dissertation output. It can be used by fellow students or researchers to simulate similar calculations in the future. Therefore, this dissertation would be a comparative study on implied volatility facilitated by computational methods based on the data from the UK financial markets. 2009-09-25 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/23210/3/The_Investigation_of_Implied_Volatility_for_the_FTSE100_Index_Options-A_Computational_Approach.pdf Zhao, Wenjing (2009) The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach. [Dissertation (University of Nottingham only)] (Unpublished) FTSE 100 Black-Scholes Implied Volatility Volatility Smile Java. |
| spellingShingle | FTSE 100 Black-Scholes Implied Volatility Volatility Smile Java. Zhao, Wenjing The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach |
| title | The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach |
| title_full | The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach |
| title_fullStr | The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach |
| title_full_unstemmed | The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach |
| title_short | The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach |
| title_sort | investigation of implied volatility for the ftse100 index options: a computational approach |
| topic | FTSE 100 Black-Scholes Implied Volatility Volatility Smile Java. |
| url | https://eprints.nottingham.ac.uk/23210/ |