摘要翻译:
提取市场预期一直是制定国家政策和金融市场投资决策时的重要问题。在期权市场中,最流行的方法是利用Black和Scholes公式提取隐含的波动来评估标的物的未来可变性。本文提出了一种从期权价格中提取市场隐含资产价格的全时变分布的新方法。我们使用贝叶斯非参数方法,利用Dirichlet过程的Sethuraman表示来考虑分布随时间的演化。作为例证,我们介绍了SP500指数的期权分析。
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英文标题:
《Measuring expectations in options markets: An application to the SP500
index》
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作者:
Abel Rodriguez and Enrique ter Horst
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最新提交年份:
2008
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In option markets, the most popular way has been to extract implied volatilities to assess the future variability of the underlying with the use of the Black and Scholes formula. In this manuscript, we propose a novel way to extract the whole time varying distribution of the market implied asset price from option prices. We use a Bayesian nonparametric method that makes use of the Sethuraman representation for Dirichlet processes to take into account the evolution of distributions in time. As an illustration, we present the analysis of options on the SP500 index.
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PDF链接:
https://arxiv.org/pdf/0901.0033