Implied volatility of S & P 500 companies during earnings announcement a structured Bayesian approach
Can an earnings announcement provide a volatility arbitrage opportunity which allows an investor to profit from a sudden, sharp drop in implied volatility that triggers a similarly steep decline in an option's value? Tan, Merouane, and Connor (2015) developed a methodology that allows an invest...
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| Format: | Thesis |
| Language: | English |
| Published: |
2015
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| Online Access: | http://ur.aeu.edu.my/159/1/Implied%20volatility%20of%20S%20%26%20P%20500%20companies%20during%20earnings%20announcement%20%20a%20structured%20Bayesian%20approach.pdf http://ur.aeu.edu.my/159/ |
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