Rubio Irigoyen, Gonzalo; Alonso, Francisco; Blanco, Roberto - Departamento de Fundamentos del Análisis Económico … - 2005
The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and...
