Do the Option Prices Forecast Spot Price? Evidence from the KOSPI 200 Index Option Market

This study investigates a forecasting power of volatility curvatures and risk neutral densities implicit in KOSPI 200 option prices by analyzing minute by minute historical index option intraday trading data from January of 2007 to January of 2011. We begin by estimating implied volatility functions...

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Veröffentlicht in:	Seonmul yeongu (Online) 2011-08, Vol.19 (3), p.251-280
1. Verfasser:	Choi, Byungwook
Format:	Artikel
Sprache:	eng
Schlagworte:	Derivatives Securities prices Skewness Stock exchanges Volatility
Online-Zugang:	Volltext
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