Name: International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices (en Inglés)
Price: 77.28 PEN
Availability: InStock
Author: United States Federal Reserve Board ; Weinberg, Steven
ISBN: 9781288731152

portada International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices (en Inglés)

Formato

Libro Físico

Autor

Steven Weinberg

United States Federal Reserve Board

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6 x 18.9 x 0.3 cm

Peso

0.10 kg.

ISBN13

9781288731152

Categorías

Política y gobierno

International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices (en Inglés)

Steven Weinberg (Autor) · United States Federal Reserve Board (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices (en Inglés)"

This paper evaluates how useful the information contained in options prices is for predicting future price movements of the underlying assets. We develop an improved semiparametric methodology for estimating risk-neutral probability density functions (PDFs), which allows for skewness and intertemporal variation in higher moments. We use this technique to estimate a daily time series of risk-neutral PDFs spanning the late 1980's through 1999, for S&P 500 futures, U.S. dollar/Japanese yen futures and U.S. dollar/deutsche mark futures, using options on these futures. For the foreign exchange futures, we find little discernable additional information contained in the estimated PDFs beyond the information derived from the Black-Scholes model, a fully parametric specification. For S&P 500 futures, we find that the risk-neutral distribution implied by the volatility smile better fits the realized returns than the Black-Scholes model, although this better overall fit is not exhibited in the second and third moments.