How does implied volatility affect option price

Li, Xuan

dc.contributor.advisor	Ye, George
dc.creator	Li, Xuan
dc.date.accessioned	2013-05-01T19:05:21Z
dc.date.available	2013-05-01T19:05:21Z
dc.date.issued	2013
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/24907
dc.description	1 online resource (iv, 39 p.)
dc.description	Includes abstract and appendix.
dc.description	Includes bibliographical references (p. 21-23).
dc.description.abstract	The paper seeks to explain and analyze the reaction of index option price to implied volatility in the Canada option market and to test the market efficiency based on the data between January 2011 and June 2011. The objective is to determine whether the implied volatility can affect the option price and how sensitive the option price reflects implied volatility. According to the output, the influence of previous implied volatility on call option price and put option price is different. For call option, the implied volatility of one day ago is statistically significant with the call price. For put option, the implied volatility of two days ago shows a statistically significant with put price. For both call price and put price, the influence of implied volatility is becoming weaker and weaker since the time pass.	en_CA
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dc.description.provenance	Made available in DSpace on 2013-05-01T19:05:21Z (GMT). No. of bitstreams: 1 li_xuan_mrp_2013.pdf: 882356 bytes, checksum: 87ffb7c11d225d90dbe9b23a83593897 (MD5)	en
dc.language.iso	en	en_CA
dc.publisher	Halifax, N.S. : Saint Mary's University
dc.title	How does implied volatility affect option price	en_CA
dc.type	Text	en_CA
thesis.degree.name	Master of Finance
thesis.degree.level	Masters
thesis.degree.discipline	Finance, Information Systems, & Management Science
thesis.degree.grantor	Saint Mary's University (Halifax, N.S.)