Amvik eBook Solutions

We propose a non-parametric method based on a model-free formula to evaluate the tails of a risk-neutral distribution using the full cross-section of option pri

We compile option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying 'extreme value theory', and t

We study short-term market risks implied by weekly S&P 500 index options. The introduction of weekly options has dramatically shifted the maturity profile of tr

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due