Fixed Income Factors and the Implication's for Option Prices – Nirav Bipinchandra Vyas
Nirav Bipinchandra Vyas
Master's thesis
Fixed Income Factors and the Implication's for Option Prices
Fixed Income Factors and the Implications for Option Prices
Abstract:
This thesis aims to investigate how fixed income factors influence the implied volatility index of the Bond Futures market, which in turn can affect option prices. The explanatory factors of the Implied Volatility Index are estimated utilizing Fixed Income Risk Factors, and their significance is evaluated utilizing the Short Condor Strategy as the benchmark option volatility strategy. Out-of-sample …moreAbstract:
This thesis aims to investigate how fixed income factors influence the implied volatility index of the Bond Futures market, which in turn can affect option prices. The explanatory factors of the Implied Volatility Index are estimated utilizing Fixed Income Risk Factors, and their significance is evaluated utilizing the Short Condor Strategy as the benchmark option volatility strategy. Out-of-sample …more
Language used: English
Date on which the thesis was submitted / produced: 2. 8. 2023
Thesis defence
Citation record
ISO 690-compliant citation record:
VYAS, Nirav Bipinchandra. \textit{Fixed Income Factors and the Implication's for Option Prices}. Online. Master's thesis. Zlín: Tomas Bata University in Zlín, Faculty of Management and Economics. 2023. Available from: https://theses.cz/id/qbid9d/.
The right form of listing the thesis as a source quoted
Vyas, Nirav Bipinchandra. Fixed Income Factors and the Implication's for Option Prices . Zlín, 2023. diplomová práce (Ing.). Univerzita Tomáše Bati ve Zlíně. Fakulta managementu a ekonomiky
Full text of thesis
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Tomas Bata University in Zlín
Faculty of Management and EconomicsMaster programme / field:
Finance / Financial Markets and Technologies
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Analyzing Risk Implications: Fixed Income's Impact on Derivative Pricing in the Bond Market
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