https://scholars.lib.ntu.edu.tw/handle/123456789/414896
標題: | The information content of option-implied tail risk on the future returns of the underlying asset | 作者: | Wang Y.-H. Yen K.-C. |
關鍵字: | extreme value theory;options;S&P 500;tail measures;VIX | 公開日期: | 2018 | 卷: | 38 | 期: | 4 | 起(迄)頁: | 493-510 | 來源出版物: | Journal of Futures Markets | 摘要: | We compile option-implied tail loss and gain measures based on a deep out-of-the-money option pricing formula derived by applying ¡§extreme value theory,¡¨ and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S&P 500 and VIX options can predict future changes in the corresponding underlying assets and are informative on the future returns of the S&P 500 index. The relationships are particularly strong during periods of economic recession and driven by the tail-risk premium. ? 2017 Wiley Periodicals, Inc. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414896 | ISSN: | 02707314 | DOI: | 10.1002/fut.21887 |
顯示於: | 財務金融學系 |
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