Browsing NTNU Open by Author "Vasseng, Kristine"
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Determinants of implied volatility and implied skewness for WTI crude oil
Tangen, Fredrik; Vasseng, Kristine (Master thesis, 2018)We analyze empirically what drives changes in the volatility smile for WTI crude oil, by calculating at-the-money implied volatility and a proxy for implied skewness on nearby future options from 25.07.2006 to 03.03.2016. ...