Article ID Journal Published Year Pages File Type
5089608 Journal of Banking & Finance 2012 17 Pages PDF
Abstract
► We generate realized distributions based on Filtered Historical Simulation. ► The distribution of the realized spot returns affects current option prices. ► Adaptive expectations hypothesis explains the dynamics of risk-neutral cumulants. ► However, the efficient market hypothesis is not violated.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Exploring the role of the realized return distribution in the formation of the implied volatility smile
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