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来源类型Working Paper
规范类型报告
DOI10.3386/w21491
来源IDWorking Paper 21491
The Pricing of Short-Term market Risk: Evidence from Weekly Options
Torben G. Andersen; Nicola Fusari; Viktor Todorov
发表日期2015-08-24
出版年2015
语种英语
摘要We study short-term market risks implied by weekly S&P 500 index options. The introduction of weekly options has dramatically shifted the maturity profile of traded options over the last five years, with a substantial proportion now having expiry within one week. Economically, this reflects a desire among investors for actively managing their exposure to very short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment, i.e., changes in the investment opportunity set. Adopting a novel general semi-nonparametric approach, we uncover variation in the shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts coincide with serious mispricing of standard parametric models for longer-dated options. As such, our approach allows for easy identification of periods of heightened concerns about negative tail events on the market that are not always "signaled" by the level of market volatility and elude standard asset pricing models.
主题Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Corporate Finance
URLhttps://www.nber.org/papers/w21491
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/579166
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GB/T 7714
Torben G. Andersen,Nicola Fusari,Viktor Todorov. The Pricing of Short-Term market Risk: Evidence from Weekly Options. 2015.
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