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...

Full description

Bibliographic Details
Main Author: Guerra, João (author)
Other Authors: Guerra, Manuel (author), Polaski, Zachary (author)
Format: workingPaper
Language:eng
Published: 2019
Subjects:
Asset Allocation
Lévy Processes
Option-Implied Distributions
Portfolio Optimization
Online Access:http://hdl.handle.net/10400.5/17445
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/17445

Internet

http://hdl.handle.net/10400.5/17445

Similar Items