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Download EBOOK International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices PDF for free


Download EBOOK International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices PDF for free Category: Society & Social Sciences
The author of the book: Steven Weinberg
ISBN-13: 9781288731152
Edition: Bibliogov
Date of issue: 8 February 2013
Format files: PDF, EPUB, TXT, DOCX
The size of the: 6.67 MB
Language: English

Description of the book "International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices":

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 PDF 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.
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Steven Weinberg

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