Option-implied term structures

Research, Preprint OPEN
Vogt, Erik (2014)
  • Publisher: New York, NY: Federal Reserve Bank of New York
  • Subject: equity risk premium | VIX | C12 | variance risk premium; term structures; options; return predictability; nonparametric regression | C14 | C58 | G13 | G12 | G17 | predictability | state-price density | variance risk premium | term structures | options | sieve M estimation | finance
    • jel: jel:G12 | jel:C58 | jel:G17
      ddc: ddc:330

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By ... View more
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