The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index
The risk neutral density is an important tool for analyzing the dynamics of financial markets and traders’ attitudes and reactions to already experienced shocks by financial markets as well as the potential ones. In this paper, we present a new method for the extraction information content from opti...
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| Format: | Article |
| Language: | English |
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Wiley
2017-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2017/3156250 |
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| _version_ | 1832555539780861952 |
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| author | Nessim Souissi |
| author_facet | Nessim Souissi |
| author_sort | Nessim Souissi |
| collection | DOAJ |
| description | The risk neutral density is an important tool for analyzing the dynamics of financial markets and traders’ attitudes and reactions to already experienced shocks by financial markets as well as the potential ones. In this paper, we present a new method for the extraction information content from option prices. By eliminating bias caused by daily variation of contract maturity through a completely nonparametric technique based on kernel regression, we allow comparing evolution of risk neutral density and extracting from time continuous indicators that detect evolution of traders’ attitudes, risk perception, and belief homogeneity. This method is useful to develop trading strategies and monetary policies. |
| format | Article |
| id | doaj-art-7036d6113d554a19b9be623337dcc4af |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2017-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-7036d6113d554a19b9be623337dcc4af2025-02-03T05:47:59ZengWileyJournal of Applied Mathematics1110-757X1687-00422017-01-01201710.1155/2017/31562503156250The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 IndexNessim Souissi0Faculty of Economics and Management of Sfax, Laboratory URECA, University of Sfax, Street of Airport, Km 4.5, LP 1088, 3018 Sfax, TunisiaThe risk neutral density is an important tool for analyzing the dynamics of financial markets and traders’ attitudes and reactions to already experienced shocks by financial markets as well as the potential ones. In this paper, we present a new method for the extraction information content from option prices. By eliminating bias caused by daily variation of contract maturity through a completely nonparametric technique based on kernel regression, we allow comparing evolution of risk neutral density and extracting from time continuous indicators that detect evolution of traders’ attitudes, risk perception, and belief homogeneity. This method is useful to develop trading strategies and monetary policies.http://dx.doi.org/10.1155/2017/3156250 |
| spellingShingle | Nessim Souissi The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index Journal of Applied Mathematics |
| title | The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index |
| title_full | The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index |
| title_fullStr | The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index |
| title_full_unstemmed | The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index |
| title_short | The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index |
| title_sort | implied risk neutral density dynamics evidence from the s p tsx 60 index |
| url | http://dx.doi.org/10.1155/2017/3156250 |
| work_keys_str_mv | AT nessimsouissi theimpliedriskneutraldensitydynamicsevidencefromthesptsx60index AT nessimsouissi impliedriskneutraldensitydynamicsevidencefromthesptsx60index |