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Author : Jordan B. Zimbelman
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book The Tails of Option-Implied Probability Distributions written by Jordan B. Zimbelman and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Allan M. Malz
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (382 download)
Download or read book Option-implied Probability Distributions and Currency Excess Returns written by Allan M. Malz and published by . This book was released on 1997 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jessica List
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (611 download)
Download or read book Analysis of Option Implied Probability Distributions written by Jessica List and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis empirically analyses implied risk neutral probability distributions of SMI index options. The contribution of this thesis is its data base (SMI index options), the long observation period (1999 - 2008) and its attempt to use the framework of option implied risk neutral probability distributions in the context of trading strategies. The influence of important market variables (such as the risk premium and the term structure of Swiss interest rates) on the estimated RNDs summary statistics is analysed in a regression framework accounting for heteroscedasticity and autocorrelation of the variables under consideration. It turns out that most of the analysed domestic market variables do not have a significant influence on the calculated implied RND's summary statistics and no significant international spillovers are observable. In addition, option implied moments, in particular the volatility of the implied RND, seem to be poor predictors for future moments of the SMI return distribution. Trading strategies based on option implied information are implemented. After accounting for transaction costs, some of these strategies are not only able to outperform a direct investment in the underlying, but systematically outperformed comparable trading strategies based on spot prices.
Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book Option-Implied Risk-Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Rubinstein
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Implied Probability Distributions written by Mark Rubinstein and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: An earlier article, quot;Implied Binomial Trees,quot; introduced a theoretical model for implying the stochastic process of an underlying asset price from the prices of associated options. This sequel provides details concerning application of the model to the full record of Samp;P 500 index options transactions from April 2, 1986 through December 31, 1993. Most prominently, it introduces a revised optimization technique for estimating expiration-date risk-neutral probability distributions which is probably theoretically superior and definitely orders of magnitude faster than the approaches outlined in the antecedent paper. This method maximizes the smoothness of the distribution while at the same time insuring that multimodalities are not unrealistically strong. With the exception of the lower left-hand tail of the distribution, alternative optimization specifications typically produce approximately the same implied distributions. Considerable care is taken to specify such parameters as interest rates, dividends, and synchronous index levels, as well as to filter for general arbitrage violations resulting implied probability distributions exhibit changes in skewness as time-to-expiration approaches which are consistent and to use time aggregation to correct for unrealistic persistent jaggedness of implied volatility smiles. The with theoretical predictions. While time patterns of skewness and kurtosis exhibit a discontinuity across the divide of the 1987 market crash, they remain remarkably stable on either side of the divide. Moreover, since the crash, the risk-neutral probability of a four standard deviation decline in the Samp;P index (-46% over a year) is 100 times more likely than would appear to be the case under the assumption of lognormality.
Author : David C. Shimko
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (92 download)
Download or read book Beyond Implied Volatility written by David C. Shimko and published by . This book was released on 1991 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Svetlozar T. Rachev
Publisher : Wiley
ISBN 13 : 0471758906
Total Pages : 369 pages
Book Rating : 4.4/5 (717 download)
Download or read book Fat-Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by Wiley. This book was released on 2005-09-15 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Author : Warren Deats
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (87 download)
Download or read book Deriving Trading Strategies from Option-implied Risk Neutral Probability Distributions written by Warren Deats and published by . This book was released on 2000 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (129 download)
Download or read book Option Implied Risk-Neutral Distributions and Implied Binomial Trees written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this partial and selective literature review of option implied risk-neutral distributions and of implied binomial trees, we start by observing that in efficient markets, there is information contained in option prices, which might help us to design option pricing models. To this end, we review the numerous methods of recovering risk-neutral probability distributions from option prices at one particular time-to-expiration and their applications. Next, we extend our attention beyond one time-to-expiration to the construction of implied binomial trees, which model the stochastic process of the underlying asset. Finally, we describe extensions of implied binomial trees, which incorporate stochastic volatility, as well as other non-parametric methods.
Author : Jian Chen
Publisher : Springer
ISBN 13 : 9811074283
Total Pages : 163 pages
Book Rating : 4.8/5 (11 download)
Download or read book General Equilibrium Option Pricing Method: Theoretical and Empirical Study written by Jian Chen and published by Springer. This book was released on 2018-04-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author : John Hull
Publisher : Pearson Higher Education AU
ISBN 13 : 1486013686
Total Pages : 577 pages
Book Rating : 4.4/5 (86 download)
Download or read book Fundamentals of Futures and options markets written by John Hull and published by Pearson Higher Education AU. This book was released on 2013-09-12 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Important local content distinguishes the Australasian edition from the US edition, including the unique financial instruments commonly traded on the Australian securities and derivatives markets and their surrounding conventions. In addition, the inclusion of Australasian and international business examples makes this text the most relevant and useful resource available to Finance students today. Hull presents an accessible and student-friendly overview of the topic without the use of calculus and is ideal for those with a limited background in mathematics. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. For undergraduate and post-graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.
Author : Peter James
Publisher : John Wiley & Sons
ISBN 13 : 0470857951
Total Pages : 388 pages
Book Rating : 4.4/5 (78 download)
Download or read book Option Theory written by Peter James and published by John Wiley & Sons. This book was released on 2003-04-04 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unified development of the subject, presenting the theory of options in each of the different forms and stressing the equivalence between each of the methodologies. * Demystifies some of the more complex topics. * Derives practical, tangible results using the theory, to help practitioners in problem solving. * Applies the results obtained to the analysis and pricing of options in the equity, currency, commodity and interest rate markets. * Gives the reader the analytical tools and technical jargon to understand the current technical literature available. * Provides a user-friendly reference on option theory for practicing investors and traders.
Author : Mark Rubinstein
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Recovering Probability Distributions from Option Prices written by Mark Rubinstein and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives underlying asset risk-neutral probability distributions of European options on the Samp;P 500 index. Nonparametric methods are used to choose probabilities which minimize an objective function subject to requiring that the probabilities are consistent with observed option and underlying asset prices. Alternative optimization specifications produce approximately the same implied distributions. A new and fast optimization technique for estimating probability distributions based on maximizing the smoothness of the resulting distribution is proposed. Since the crash, the risk-neutral probability of a three (four) standard deviation decline in the index (about-36% (-46%) over a year) is about 10 (100) times more likely than under the assumption of lognormality.
Author : Bluford H Putnam
Publisher : World Scientific
ISBN 13 : 1944659609
Total Pages : 273 pages
Book Rating : 4.9/5 (446 download)
Download or read book Economics Gone Astray written by Bluford H Putnam and published by World Scientific. This book was released on 2019-01-04 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'It is written in clear English, without equations, and with plenty of charts to ground one’s understanding in the real world … The authors make a compelling case that economists need to take their simplifying assumptions more seriously, to embrace statistical techniques that can track dynamic markets with time-varying parameters, and to always be aware of the importance of shifts in the underlying context.'Global Commodities Applied Research DigestEconomics Gone Astray is a collection of essays on critical topics in macroeconomics that frame the issues in terms of clearly stated assumptions, highlighting the errors often made by professional economists, and allowing readers to better analyze market behavior and the economic consequences of policy decisions.The book differs from textbook economics, as it tackles sophisticated topics without using mathematics or technical jargon. This makes the book highly accessible to all types of readers, from investors and investment professionals, to professors and their students.The book's style integrates a large quantity of clearly drawn charts which help anchor the readers' perceptions of the topics being examined, from inflation to taxes, to demographics.
Author : Daniel Giamouridis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Asymptotic Distribution Expansions in Option Pricing written by Daniel Giamouridis and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article extends an option pricing model and studies the properties of implied probability distribution functions (PDFs) recovered from American interest rate futures options. The model relaxes the restricting assumption of lognormally distributed returns accommodating a wide variety of implied PDFs shapes. Non-normal skewness and kurtosis are found to contribute significantly to estimating more precise implied densities. The model achieves good in-sample accuracy, similar to that achieved by alternative approaches. The recovered implied PDFs are, finally, found to be closer to a median PDF estimated using a number of alternative techniques.
Author : Dominique Y. Dupont
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (248 download)
Download or read book Extracting Risk-neutral Probability Distributions from Option Prices Using Trading Volume as a Filter written by Dominique Y. Dupont and published by . This book was released on 2001 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
