新冠疫情与市场预期：来自期权隐含密度的证据。
COVID-19 and market expectations: Evidence from option-implied densities.
作者信息
Hanke Michael, Kosolapova Maria, Weissensteiner Alex
机构信息
Institute for Finance, University of Liechtenstein, Fürst-Franz-Josef-Strasse, 9490 Vaduz, Liechtenstein.
Faculty of Economics and Management, Free University of Bozen-Bolzano, Universitätsplatz 1, I-39100 Bozen, Italy.
出版信息
Econ Lett. 2020 Oct;195:109441. doi: 10.1016/j.econlet.2020.109441. Epub 2020 Jul 25.
Abstract
We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few weeks later, densities started to differ across markets.
摘要
我们比较了新冠疫情早期几个国家股票指数期权的风险中性密度。所有分析市场的初始反应都滞后、突然且同步。仅仅几周后，不同市场的密度开始出现差异。
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