A Nonlinear Factor Analysis of S&P 500 Index Option Returns
β Scribed by CHRISTOPHER S. JONES
- Book ID
- 109176350
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 522 KB
- Volume
- 61
- Category
- Article
- ISSN
- 0022-1082
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## I9 12 5 . The horizontal axis measures option moneyness, defined as the percentage difference between a discounted strike price and a stock price, i.e., ## Ke-* -So Ke-\* x 100 and the vertical axis measures values for -Q3 and Q4. The most telling observation from Figure is that negative s
Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and dens