The information content of option‐implied tail risk on the future returns of the underlying asset

We compile option‐implied tail loss and gain measures based on a deep out‐of‐the‐money option pricing formula derived by applying “extreme value theory,” and then use these measures to investigate the information content of option‐implied tail risk on the future returns of the underlying assets. Our...

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Veröffentlicht in:	The journal of futures markets 2018-04, Vol.38 (4), p.493-510
Hauptverfasser:	Wang, Yaw‐Huei, Yen, Kuang‐Chieh
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets extreme value theory Information content Money options Options trading Rates of return Recessions S&P 500 Securities trading Stock market indexes tail measures VIX
Online-Zugang:	Volltext
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