کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5075619 | 1373927 | 2006 | 25 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market](/preview/png/5075619.png)
Based on a large set of transactions data for Eurex DAX and Euro-Bund-Future options, this paper addresses the informational content of option-implied volatility, skewness, and kurtosis. Implied risk-neutral distributions (RND) are derived via the original Black/Scholes model, the Gram/Charlier series expansion approach proposed by Corrado and Su [Corrado, C. J., Su, T. (1996). Skewness and kurtosis in S&P 500 index returns implied by option prices. The Journal of Financial Research 19, 175-192.], and models based on mixtures of two and three log-normal distributions. While implied volatilities are proven to be superior to historical estimates in terms of forecasting ability in the majority of cases, for instance, neither option-implied skewness nor kurtosis of the advanced models seem to contain any information on the underlyings' future realized moments.
Journal: Global Finance Journal - Volume 17, Issue 1, September 2006, Pages 50-74