The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index
Author
Source
Journal of Applied Mathematics
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-06-11
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
The risk neutral density is an important tool for analyzing the dynamics of financial markets and traders’ attitudes and reactions to already experienced shocks by financial markets as well as the potential ones.
In this paper, we present a new method for the extraction information content from option prices.
By eliminating bias caused by daily variation of contract maturity through a completely nonparametric technique based on kernel regression, we allow comparing evolution of risk neutral density and extracting from time continuous indicators that detect evolution of traders’ attitudes, risk perception, and belief homogeneity.
This method is useful to develop trading strategies and monetary policies.
American Psychological Association (APA)
Souissi, Nessim. 2017. The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index. Journal of Applied Mathematics،Vol. 2017, no. 2017, pp.1-10.
https://search.emarefa.net/detail/BIM-1169948
Modern Language Association (MLA)
Souissi, Nessim. The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index. Journal of Applied Mathematics No. 2017 (2017), pp.1-10.
https://search.emarefa.net/detail/BIM-1169948
American Medical Association (AMA)
Souissi, Nessim. The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index. Journal of Applied Mathematics. 2017. Vol. 2017, no. 2017, pp.1-10.
https://search.emarefa.net/detail/BIM-1169948
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1169948