Download EBOOK Extraction of Market Expectations from Option Prices PDF for free


Download EBOOK Extraction of Market Expectations from Option Prices PDF for free Category: Business, Finance & Law
The author of the book: Carlos Alberto Palomino Lazo
Format files: PDF, EPUB, TXT, DOCX
The size of the: 2.79 MB
Language: English
ISBN-13: 9783845422343
Edition: LAP Lambert Academic Publishing
Date of issue: 1 October 2011

Description of the book "Extraction of Market Expectations from Option Prices":

This book estimates risk neutral parameters of a jump diffusion model, as in Bates (1991), implicit in the option prices on the S&P500 futures over the period 2006-2008. Additionally, it investigates the extent to which market participants anticipated the financial market crash of 2008. We find that high levels of skewness premium are detectable in the short maturity out-of-the-money put options as early as July 2007. Nevertheless, market expectations of an extreme downturn subsided after the collapse of Bear Stearns in April 2008. Overall, our findings indicate that the estimated parameters show the presence of crash expectations prior to September 2008 but there is PDF no evidence that the magnitude of the crash was predictable.

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Carlos Alberto Palomino Lazo

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Download EBOOK Extraction of Market Expectations from Option Prices PDF for free



Download EBOOK Extraction of Market Expectations from Option Prices for free

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