How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?

DOI10.1142/9789811202391_0042zbMath1454.91308OpenAlexW3086285947MaRDI QIDQ5139453

Wan-Ru Yang, Yichen Wang, Wen-Ming Szu

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0042

zbMATH Keywords

put-call parityinvestor sentimentconsumer sentimentimplied risk-neutral distributionTAIEX options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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