OPUS

  • Home
  • Search
  • Browse
  • Publish
  • Hilfe
Search Fields

Refine

Author

  • Matthias Muck (2)
  • Michael Herold (1)
  • Stefan Weisheit (1)

Year of publication

  • 2012 (1)
  • 2013 (1)

Document Type

  • Artikel in einem Sammelwerk / Postprint (2) (remove)

Language

  • English (2) (remove)

Keywords

  • Risk-neutral densities (1)
  • derivatives (1)

2 search hits

search hits 1 to 2

Sort by

  • Year
  • Year
  • Title
  • Title
  • Author
  • Author
Show/Hide Abstract Risk-Neutral Densities and Catastrophe Events (2012)
Michael Herold Matthias Muck
In this research, we analyze the impact of catastrophe events on riskneutral densities which can be implied from European option markets. As catastrophe events we consider the destruction of the nuclear power plant at Fukushima and the downgrading of U.S. sovereign debt in 2011. In an event study, we analyze the impact on European blue chip index options traded at EUREX. We find that after a short adaption period, probability mass of especially risk-neutral density functions derived from long-term options is shifted toward the right side. Thus, very good states of the economy become more expensive indicating higher prices for deep out-ofthe- money options. This signifies that there has been speculation on a recovery of the German stock market after the shocks.
Optimal Portfolio Choice, Derivatives and Event Risk (2013)
Matthias Muck Stefan Weisheit

search hits 1 to 2

OPUS4 Logo

  • Contact
  • Imprint
  • Sitelinks
Login