This paper examines how the investors' expectations of the stock market evolve over the ten-year period between 1999 to 2008. In the past decade, the U.S. stock market experienced two major crises, with a relatively steady growth period in between. Using options implied risk neutral...

This paper is a comparison study of non-parametric techniques used to estimate risk-neutral densities from option prices. Cross-sectional option prices are first generated using Monte Carlo simulation. Using these simulated options data, risk-neutral densities of the underlying asset are...

This study examines the performance and risk of indexes for US and European stocks which account for non-financial “beliefs”, namely the ESG (Environmental, social and corporate governance) indexes, Islamic indexes, and Christian indexes. To explore if such beliefs matter for investment...