全球智库信息集成服务系统(G2TT): Option-pricing formula with disaster risk

G2TT

来源类型	Working Paper
规范类型	论文
	Option-pricing formula with disaster risk
	Robert J. Barro; Gordon Liao
发表日期	2017-12-18
出版年	2017
语种	英语
摘要	Abstract A new options-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of disasters follows a power law, and the economy has a representative agent with Epstein-Zin utility. The elasticity of the put-options price is one with respect to maturity and above one with respect to exercise price. An additional term reflects the volatility of disaster probability. The formula conforms with data on put-options prices for the U.S. S&P index from 1983 to 2017 and for analogous indices for other countries starting in the mid-1990s. The estimated disaster probability, inferred from monthly fixed effects, is highly correlated across countries and peaks during the financial crisis of 2008-09. The U.S. peak is more dramatic in the stock-market crash of October 1987. The estimated U.S. disaster probability is highly positively correlated with the VIX indicator. Read the full PDF here.
主题	Economics
标签	Economic growth ; economic risk ; Gross Domestic Product (GDP) ; Stock market
URL	https://www.aei.org/research-products/working-paper/option-pricing-formula-with-disaster-risk/
来源智库	American Enterprise Institute (United States)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/207376
推荐引用方式 GB/T 7714	Robert J. Barro,Gordon Liao. Option-pricing formula with disaster risk. 2017.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
Barro-Liao-WP.pdf（635KB）	智库出版物		限制开放	CC BY-NC-SA	浏览