Recovering probabilistic information from option markets: tests of distributional assumptions
Article Abstract:
Option pricing models are useful in recovering probabilistic information on the prices of underlying assets without directly obtaining opinions from market participants. The commonly used Black-Scholes option pricing models have been criticized by Rubenstein (1994) as unreliable and have been questioned on their standard distributional assumptions. Cos and Ross (1976) has developed a general asset pricing theory where expectations can be made using the risk-neutralized valuation measure (RNVM). A straightforward method is used to recover all the parameters of an expected RNVM from options data.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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Option-based evidence of the nonstationarity of expected S&P 500 futures price distributions
Article Abstract:
The volatility of Standard and Poor's 500 futures prices was examined using option pricing modelsand current market prices. The factors behind time-dependent price fluctuationsand the effects of time-to-maturity on price changes were analyzed. No-arbitrage pricing methods were used in forecasting future price changes. A switching regression model was also utilized in estimating the parameters of price changes. It was noted that price switches happened during bimonthly interludes before contract expiration and that price volatility falls as contracts mature.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1992
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Managed futures, positive feedback trading, and futures price volatility
Article Abstract:
A study was conducted to look into the impact of managed futures trading on futures price volatility. A unique set of data on managed futures trading covering the period Dec 1, 1988 through Mar 31, 1989 was used for two sets of analysis. The study established that regression results are unequivocal with respect to the direct impact of commodity pool trading on futures price volatility.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1999
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