Efficient Calibration of Implied Volatility

Trinh, Anh Tuan (2023) Efficient Calibration of Implied Volatility. Masters thesis, Dublin, National College of Ireland.

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Abstract

This paper aims to investigate a tool for option traders using Dumas, Fleming and Whaley formula with different models. This tool can create a dashboard for implied volatility so that helps them to observe the change of implied volatility in the option market. Thus, the traders can have a better view about what is happening in the market and thus help them to give better decisions for their investments. Besides, the dashboard can also a guideline about the risks so that risk managers can use it as a tool for risks management. This paper also figures out that binominal function that commonly used to calculate American option nowadays takes too much time to run and not suitable for application development when we need to work with large datasets. In this paper, it takes more than 40 hours of calculation for American option and this needs to improve in further studies.

Item Type:	Thesis (Masters)
Supervisors:	Name Email Byrne, Brian UNSPECIFIED
Subjects:	H Social Sciences > HG Finance > Fintech T Technology > T Technology (General) > Information Technology > Fintech H Social Sciences > HG Finance > Investment H Social Sciences > HG Finance > Investment > Stock Exchange
Divisions:	School of Computing > Master of Science in FinTech
Depositing User:	Tamara Malone
Date Deposited:	10 Aug 2024 09:41
Last Modified:	10 Aug 2024 09:41
URI:	https://norma.ncirl.ie/id/eprint/7035

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