Книга: Carlos Alberto Palomino Lazo and Aimee R. Kanyankogote «Extraction of Market Expectations from Option Prices»
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Производитель: "LAP Lambert Academic Publishing" 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 no evidence that the magnitude of the crash was predictable. ISBN:9783845422343 Издательство: "LAP Lambert Academic Publishing" (2011)
ISBN: 9783845422343 |
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