The Informational Content of Financial Options for Quantitative Asset Management: A Review

HANDBOOK OF QUANTITIVE ASSET MANAGEMENT, B. Scherer, K. Winston, ed., Oxford University Press, Forthcoming

36 Pages Posted: 1 Nov 2009 Last revised: 29 Mar 2012

See all articles by Daniel Giamouridis

Daniel Giamouridis

Bank of America - Bank of America Merrill Lynch; Athens University of Economics and Business; City University London - Cass Business School - Faculty of Finance; EDHEC Risk Institute

George S. Skiadopoulos

Queen Mary, University of London, School of Economics and Finance; University of Piraeus

Date Written: October 29, 2009

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.

Keywords: Beta, Implied distributions, Implied volatility, Options, Portfolio construction, Stock selection, Value-at-Risk

JEL Classification: G1, G11, G13, G14, G34

Suggested Citation

Giamouridis, Daniel and Skiadopoulos, George, The Informational Content of Financial Options for Quantitative Asset Management: A Review (October 29, 2009). HANDBOOK OF QUANTITIVE ASSET MANAGEMENT, B. Scherer, K. Winston, ed., Oxford University Press, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1496285

Daniel Giamouridis (Contact Author)

Bank of America - Bank of America Merrill Lynch ( email )

United Kingdom

Athens University of Economics and Business ( email )

Department of Accounting and Finance
Greece

City University London - Cass Business School - Faculty of Finance ( email )

London, EC2Y 8HB
Great Britain

EDHEC Risk Institute ( email )

Lille
France

George Skiadopoulos

Queen Mary, University of London, School of Economics and Finance

Lincoln's Inn Fields
Mile End Rd.
London, E1 4NS
United Kingdom

University of Piraeus ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

HOME PAGE: http://web.xrh.unipi.gr/faculty/gskiadopoulos/

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