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COVID-19 and market expectations: Evidence from option-implied densities
We compare risk-neutral densities from equity index options across several countries during the early phase of the COVID-19 pandemic. The initial reaction in all analyzed markets was late, abrupt and simultaneous. Only a few weeks later, densities started to differ across markets.
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Authors. Published by Elsevier B.V.
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7381403/ https://www.ncbi.nlm.nih.gov/pubmed/32834239 http://dx.doi.org/10.1016/j.econlet.2020.109441 |