The Information Content of Option Implied Asset Price and Volatility for Spot Price Movement
Date Issued
2008
Date
2008
Author(s)
Chen, Chiao-Yu
Abstract
Doran et al. (2007) confirmed the information content of option price for spot price movement. Base on their findings, this study separate the information embedded in the option price to further discuss the information content of implied asset price and implied volatility. Different from the previous studies, this study use Put-Call Parity to infer option implied asset price and volatility with different strike price and time to maturity to investigate the empirical properties. The results from the Standard &Poor’s 500 index options confirmed the information role of option implied asset price for spot price movement.
Subjects
Implied Asset Price
Implied Volatility
Information Content
Price Discovery
Volatility Skew
Type
thesis
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ntu-97-R95723048-1.pdf
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