The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market
✍ Scribed by Sascha Wilkens; Klaus Röder
- Book ID
- 116511821
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 352 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1044-0283
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and
Forecasts of interest rates for dierent maturities are essential for forecasts of asset prices. The growth of derivatives markets coupled with the development of complex theories of the term structure of interest rates have provided forecasters with a rich array of variables for predicting interest