Artikel
Option-implied information: What’s the vol surface got to do with it?
We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are economically surprisingly large and lead to systematic biases, especially for out-of-the-money put options. Estimates for risk-neutral variance differ across volatility surfaces by more than 10% on average, leading to variance risk premium estimates that differ by 60% on average. The variations are even larger for risk-neutral skewness. To overcome this problem, we propose a volatility surface that is built with a one-dimensional kernel regression. We assess its statistical accuracy relative to existing state-of-the-art parametric, semi- and non-parametric volatility surfaces by means of leave-one-out cross-validation, including the volatility surface of OptionMetrics. Based on 14 years of end-of-day and intraday S&P 500 and Euro Stoxx 50 option data we conclude that the proposed one-dimensional kernel regression represents option market information more accurately than existing approaches of the literature.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Review of Derivatives Research ; ISSN: 1573-7144 ; Volume: 23 ; Year: 2020 ; Issue: 3 ; Pages: 323-355 ; New York, NY: Springer US
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Financial Forecasting and Simulation
Semiparametric and Nonparametric Methods: General
- Thema
-
Option-implied
Risk-neutral variance
Risk-neutral density
Tail risk
Option standardization
Interpolation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ulrich, Maxim
Walther, Simon
- Ereignis
-
Veröffentlichung
- (wer)
-
Springer US
- (wo)
-
New York, NY
- (wann)
-
2020
- DOI
-
doi:10.1007/s11147-020-09166-0
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Ulrich, Maxim
- Walther, Simon
- Springer US
Entstanden
- 2020
Ähnliche Objekte (12)
The impact of the leverage effect on the implied volatility smile: evidence for the German option market
Idiosyncratic volatility, option-based measures of informed trading, and investor attention
Political inequality, political participation, and support for populist parties
Crowdfunding a monthly income: an analysis of the membership platform Patreon
Rising markups and optimal redistributive taxation
Is the Whole Greater than the Sum of Its Parts? Pricing Pressure Indices for Mergers of Vertically Integrated Firms
Ethnomathematics : A Multicultural View of Mathematical Ideas
Interest Groups, NGOs or Civil Society Organisations? The Framing of Non-State Actors in the EU
Like father, like son? A comparison of absolute and relative intergenerational labour income mobility in Germany and the US
Harsanyi support levels solutions
Richard E. Wagner (Ed.): James M. Buchanan—A theorist of political economy and social philosophy
Heiner Rindermann (2018) Cognitive capitalism: human capital and the wellbeing of nations. Cambridge, UK: Cambridge University Press, xvi + 576 pp, USD 44.99 (paperback)
The impact of the leverage effect on the implied volatility smile: evidence for the German option market
Idiosyncratic volatility, option-based measures of informed trading, and investor attention
Political inequality, political participation, and support for populist parties
Crowdfunding a monthly income: an analysis of the membership platform Patreon
Rising markups and optimal redistributive taxation
Is the Whole Greater than the Sum of Its Parts? Pricing Pressure Indices for Mergers of Vertically Integrated Firms
Ethnomathematics : A Multicultural View of Mathematical Ideas
Interest Groups, NGOs or Civil Society Organisations? The Framing of Non-State Actors in the EU
Like father, like son? A comparison of absolute and relative intergenerational labour income mobility in Germany and the US
Harsanyi support levels solutions
Richard E. Wagner (Ed.): James M. Buchanan—A theorist of political economy and social philosophy
Heiner Rindermann (2018) Cognitive capitalism: human capital and the wellbeing of nations. Cambridge, UK: Cambridge University Press, xvi + 576 pp, USD 44.99 (paperback)
The impact of the leverage effect on the implied volatility smile: evidence for the German option market
Idiosyncratic volatility, option-based measures of informed trading, and investor attention
Political inequality, political participation, and support for populist parties
Crowdfunding a monthly income: an analysis of the membership platform Patreon
Rising markups and optimal redistributive taxation
Is the Whole Greater than the Sum of Its Parts? Pricing Pressure Indices for Mergers of Vertically Integrated Firms
Ethnomathematics : A Multicultural View of Mathematical Ideas
Interest Groups, NGOs or Civil Society Organisations? The Framing of Non-State Actors in the EU
Like father, like son? A comparison of absolute and relative intergenerational labour income mobility in Germany and the US
Harsanyi support levels solutions
Richard E. Wagner (Ed.): James M. Buchanan—A theorist of political economy and social philosophy