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Option prices and model-free measurement of implied herd behavior in stock markets

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Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10010464790