We show how to compute the expectiles of the risk-neutral distribution from the prices of European call and put options. Empirical properties of these implicit expectiles are studied on a data-set of closing daily prices of FTSE MIB index options. We introduce the interexpectile difference Delta tau (X) := e(tau) (X) - e(1-tau) (X), for tau is an element of (1/2, 1], and suggest that it is a natural measure of the variability of the risk-neutral distribution. We investigate its theoretical and empirical properties and compare it with the VIX index computed by CBOE

Bellini, F., Mercuri, L., Rroji, E. (2018). Implicit expectiles and measures of implied volatility. QUANTITATIVE FINANCE, 18(11), 1851-1864 [10.1080/14697688.2018.1447680].

Implicit expectiles and measures of implied volatility

Bellini, Fabio;Mercuri, Lorenzo;Rroji, Edit
2018

Abstract

We show how to compute the expectiles of the risk-neutral distribution from the prices of European call and put options. Empirical properties of these implicit expectiles are studied on a data-set of closing daily prices of FTSE MIB index options. We introduce the interexpectile difference Delta tau (X) := e(tau) (X) - e(1-tau) (X), for tau is an element of (1/2, 1], and suggest that it is a natural measure of the variability of the risk-neutral distribution. We investigate its theoretical and empirical properties and compare it with the VIX index computed by CBOE
Articolo in rivista - Articolo scientifico
Implied volatility, VIX index, Expectiles, Interexpectile difference
English
1851
1864
14
Bellini, F., Mercuri, L., Rroji, E. (2018). Implicit expectiles and measures of implied volatility. QUANTITATIVE FINANCE, 18(11), 1851-1864 [10.1080/14697688.2018.1447680].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/196351
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