Mandler, M: Market Expectations and Option Prices

Softcover Nachdruck of the original 1. Auflage 2003
ISBN: 978-3-7908-0049-4
Verlag: Physica Verlag

Buch, Englisch, 228 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 770 g

Reihe: Contributions to Economics

This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities. 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model. 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation. 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. 13 2.4 Summary. 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model. 16 Appendix 2B: Some Further Details on the Replication Strategy. 21 3 Survey of the Related Literature. 23 3.1 The Information Content of Forward and Futures Prices. 24 3.2 The Information Content of Implied Volatilities. 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density. 27 3.2.2 The Term Structure of Implied Volatilities. 29. 3.2.3 The Forecasting Information in Implied Volatilities. 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium. 45.

Zielgruppe

Research

Autoren/Hrsg.

Mandler, Martin

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik

Inhaltsverzeichnis

1 Introduction.- I Theoretical Foundations.- 2 Arbitrage Pricing and Risk-Neutral Probabilities.- 3 Survey of the Related Literature.- 4 Presenting and Interpreting Risk-Neutral Probabilities.- 5 Techniques for Extracting Risk-Neutral Probabilities from Option Prices.- 6 The Advantages and Disadvantages of Selected Techniques.- II Empirical Applications.- 7 Important Empirical Applications — A Review.- 8 Central-Bank Council Meetings and Money Market Uncertainty.- 9 Central-Bank Council Meetings — Event Studies.- 10 Summary and Conclusions.- List of Figures.- List of Tables.