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Equity Return Forecasting Using Risk-Neutral Option-Implied Moments


Equity Return Forecasting Using Risk-Neutral Option-Implied Moments

Filion, Charles-Gabriel (2019) Equity Return Forecasting Using Risk-Neutral Option-Implied Moments. Masters thesis, Concordia University.

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Using OptionMetrics implied volatility surfaces for a sample of S&P 100 constituent stocks as of April 29, 2016, with historical data spanning from January 1996 to April 2016, this research provides additional empirical data regarding the informational content of option implied risk-neutral distributions. Two different methodologies are used to compute option-implied moments for the years 1996-2016: the first is based on Breeden-Litzenberger (1978) and the other on Bakshi, Kapadia and Madan (2003).

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Filion, Charles-Gabriel
Institution:Concordia University
Degree Name:M. Sc.
Date:March 2019
Thesis Supervisor(s):Schweizer, Denis
ID Code:985102
Deposited On:27 Oct 2022 13:50
Last Modified:27 Oct 2022 13:50


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