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The informational content of option-implied distributions: Evidence from the EUREX index and interest rate futures options market

Wilkens, Sascha and Röder, Klaus (2006) The informational content of option-implied distributions: Evidence from the EUREX index and interest rate futures options market. Global finance journal 17 (1), pp. 50-74.

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Abstract

Based on a large set of transactions data for Eurex DAX and Euro-Bund-Future options, this paper addresses the informational content of option-implied volatility, skewness, and kurtosis. Implied risk-neutral distributions (RND) are derived via the original Black/Scholes model, the Gram/Charlier series expansion approach proposed by Corrado and Su [Corrado, C. J., Su, T. (1996). Skewness and ...

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Item type:Article
Date:September 2006
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
10.1016/j.gfj.2006.06.006DOI
Keywords:Options; Risk-neutral distributions; Volatility; Moments; Informational content
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Unknown
Item ID:8458
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