Earticle

초록

영어

This study explores the relative information quality of in-the-money options compared to out-ofthe- money options. The extant literature regarding the informational efficiency of options tends to focus on only out-of-the-money options. Such tendency is based on the belief that out-of-themoney options are informationally superior to in-the-money options because they have relatively high liquidity. However, in-the-money options which are not deep-in-the-money also are sufficiently liquid and thus their inferiority should be verified empirically. Initiated by such a motivation, this study investigates the implied risk-neutral (RN) densities, implied risk aversions and forecasting abilities of both in- and out-of-the-money options. Our findings support the conventional argument that in-the-money options are informationally inferior to out-of-the-money options, even after adjusting the risk-attitude of investors.

목차

Abstract
 1. Introduction
 2. Theoretical Backgrounds
  2.1 Risk-Neutral Volatility and Adjusted Implied Volatility
  2.2 Estimation of Risk-Neutral Higher Moments
  2.3 Forecasting Performance Criteria
 3. Data
 4. Empirical Results
  4.1 Methodology
  4.2 Comparison of Volatility Spreads and Implied Risk Aversion between ITM and OTM options
 5. Concluding Remarks
 6. References

키워드

저자

• Sun-Joong Yoon [ Department of Finance, Hallym University, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330