Expected Stock Returns and Option-Implied Rate of Return
نویسندگان
چکیده
منابع مشابه
Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
The Black–Scholes* option pricing model is commonly applied to value a wide range of option contracts. However, the model often inconsistently prices deep in-the-money and deep out-of-the-money options. Options professionals refer to this well-known phenomenon as a volatility ‘skew’ or ‘smile’. In this paper, we examine an extension of the Black–Scholes model developed by Corrado and Su‡ that s...
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To save space, we present some of our …ndings in the Online Appendix. In Section I, we investigate the intertemporal relation between various skewness measures and expected market returns. In Section II, we orthogonalize the implied volatility spread measures with respect to the implied variance, realized variance, physical skewness and risk-neutral skewness measures. In Section III, we orthogo...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2012
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2012.24030