Option implied ambiguity and its information content: Evidence from the subprime crisis
(2015)
Journal Article
Driouchi, T., Trigeorgis, L., & So, R. H. (2018). Option implied ambiguity and its information content: Evidence from the subprime crisis. Annals of Operations Research, 262(2), 463-491. https://doi.org/10.1007/s10479-015-2079-y
This paper studies option investors’ tendency to deviate from risk-neutrality around extreme financial events. We incorporate ambiguity into Black–Scholes theory and analyze the lead–lag association between option and stock markets during 2006–2008.... Read More about Option implied ambiguity and its information content: Evidence from the subprime crisis.