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The Informational Content of Financial Options for Quantitative Asset Management: A ReviewDaniel GiamouridisAthens University of Economics and Business; City University London - Sir John Cass Business School George S. SkiadopoulosUniversity of Piraeus; University of Warwick - Warwick Business School - Financial Options Research Centre; City University - Faculty of Finance - Cass Business School October 29, 2009 HANDBOOK OF QUANTITIVE ASSET MANAGEMENT, B. Scherer, K. Winston, ed., Oxford University Press, Forthcoming Abstract: This paper surveys the literature that deals with the informational content of market option prices for the purposes of quantitative asset management. We review studies that have investigated whether market option prices may help a portfolio manager in the stock selection process, portfolio construction, risk measurement and management. The main ideas are highlighted and the advantages and limitations are outlined. The use of market option prices for stock market and style timing is also discussed and some key papers on the informational role of option’s volume are presented.
Number of Pages in PDF File: 36 Keywords: Beta, Implied distributions, Implied volatility, Options, Portfolio construction, Stock selection, Value-at-Risk JEL Classification: G1, G11, G13, G14, G34 Accepted Paper SeriesDate posted: November 1, 2009 ; Last revised: March 29, 2012Suggested CitationContact Information
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