Does the Market Beat Midas Conditional on Federal Reserve Policy?

Sammon, Marco C.
2013

This paper examines algorithms implemented in MATLAB that can be used to solve systems of Black-Scholes equations for implied volatility and implied risk-free rate. These algorithms were run on a dataset of almost 400,000 call options traded between 2003 and 2012. After adjusting for volatility skew, the options are re-priced using these model-implied parameters in the Black-Schole... read more

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Undergraduate honors theses
Subjects
Senior honors thesis
Department of Economics
Permanent URL
http://hdl.handle.net/10427/78036
ID: tufts:UA005.003.068.00001
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