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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 NumberLocationAvailable
JOF6606PSB lt.dasar - Pascasarjana1
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 -
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