International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices by Steven Weinberg

International Finance Discussion Papers: Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices

Steven Weinberg

48 pages missing pub info (editions)

nonfiction politics
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This paper evaluates how useful the information contained in options prices is for predicting future price movements of the underlying assets. We develop an improved semiparametric methodology for estimating risk-neutral probability density funct...

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