Text
Disasters implied by equity index options
We use equity index options to quantify the distribution of consumption growth disasters. The challenge lies in connecting the risk-neutral distribution of equity returns implied by options to the true distribution of consumption growth. First, we compare pricing kernels constructed from macro-finance and option-pricing models. Second, we compare option prices derived from a macro-finance model to those we observe. Third, we compare the distribution of consumption growth derived from option prices using a macro-finance model to estimates based on macroeconomic data. All three perspectives suggest that options imply smaller probabilities of extreme outcomes than have been estimated from macroeconomic data.Printed journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JOF6606 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : Wiley Periodicals |
|---|---|
| Edisi | - |
| Subjek | Stock options Prices Mathematical models Economic models Finance Measurement Securities Options (Finance) Rate of return Consumption (economics) Stocks (finance) Volatility (finance) model comparison |
| ISBN/ISSN | 221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |