A non structural approach to option hedging via orthogonal polynomials
Petronzio, Silvio (A.A. 2019/2020) A non structural approach to option hedging via orthogonal polynomials. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 73. [Master's Degree Thesis]
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Abstract/Index
Orthogonal polynomials. Elements of measure theory. The orthogonal expansion. Non-structural hedging. General assumptions. Computation of the risk-neutral moments. Empirical results. The SPX and the VIX: a brief retrospective. Analysis of driving risk factors for SPX options. How to read the RND in turbulent times: from the 2008 crisis to Covid-19.
References
Bibliografia: pp. 58-59.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Grassi, Stefano |
| Academic Year: | 2019/2020 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 22 Jan 2021 10:34 |
| Last Modified: | 22 Jan 2021 10:34 |
| URI: | https://tesi.luiss.it/id/eprint/28162 |
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