Blar i Brage NMBU på forfatter "Miljeteig, Veronica Aamodt"
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Implied moments from OBX options : and a detailed analysis of moment-adjusted option models
Miljeteig, Veronica Aamodt; Skirbekk, Geir (Master thesis, 2018)In this thesis we study the performance of skewness and kurtosis adjusted option pricing models. We estimated and analyzed volatility, skewness and kurtosis from a risk-neutral distribution from historical option prices ...