Market timing with option-implied distributions in an exponentially tempered stable Lévy market
This paper explores the empirical implementation of a dynamic asset allocation strategy using option-implied distributions when the underlying risky asset price is modeled by an exponential Lévy process. One month risk-neutral densities are extracted from option prices and are subsequently transform...
| Autor principal: | |
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| Outros Autores: | , |
| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2019
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.5/17445 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/17445 |