COVID-19 and market expectations : evidence from option-implied densities
Year of publication: |
2020
|
---|---|
Authors: | Hanke, Michael ; Kosolapova, Maria ; Weissensteiner, Alex |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 195.2020, p. 1-4
|
Subject: | COVID-19 | Equity index options | Risk-neutral densities | Coronavirus | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Wirkungsanalyse | Impact assessment | Schätzung | Estimation | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index |
-
Kim, Joocheol, (2014)
-
The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar, (2021)
-
The fine structure of equity-index option dynamics
Andersen, Torben, (2015)
- More ...
-
COVID-19 and Market Expectations : Evidence from Option-Implied Densities
Hanke, Michael, (2020)
-
Estimating Time-Varying Risk Aversion from Option Prices and Realized Returns
Hanke, Michael, (2022)
-
Estimating time-varying risk aversion from option prices and realized returns
Kosolapova, Maria, (2023)
- More ...