Matches in SemOpenAlex for { <https://semopenalex.org/work/W2494437349> ?p ?o ?g. }
Showing items 1 to 51 of
51
with 100 items per page.
- W2494437349 endingPage "207" @default.
- W2494437349 startingPage "185" @default.
- W2494437349 abstract "In this research, we analyze the impact of catastrophe events on risk-neutral 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-of-the-money options. This signifies that there has been speculation on a recovery of the German stock market after the shocks." @default.
- W2494437349 created "2016-08-23" @default.
- W2494437349 creator A5017233242 @default.
- W2494437349 creator A5067184222 @default.
- W2494437349 date "2012-01-01" @default.
- W2494437349 modified "2023-09-23" @default.
- W2494437349 title "Risk-Neutral Densities and Catastrophe Events" @default.
- W2494437349 cites W1966119267 @default.
- W2494437349 cites W1993301979 @default.
- W2494437349 cites W2013755305 @default.
- W2494437349 cites W2050067494 @default.
- W2494437349 cites W2059552362 @default.
- W2494437349 cites W2077791698 @default.
- W2494437349 cites W2158580072 @default.
- W2494437349 cites W2179356764 @default.
- W2494437349 cites W3122905337 @default.
- W2494437349 cites W3123744952 @default.
- W2494437349 cites W3124217767 @default.
- W2494437349 cites W3124331949 @default.
- W2494437349 cites W3124812671 @default.
- W2494437349 cites W3124960685 @default.
- W2494437349 cites W3125912290 @default.
- W2494437349 doi "https://doi.org/10.1108/s1569-3759(2012)0000094010" @default.
- W2494437349 hasPublicationYear "2012" @default.
- W2494437349 type Work @default.
- W2494437349 sameAs 2494437349 @default.
- W2494437349 citedByCount "0" @default.
- W2494437349 crossrefType "book-chapter" @default.
- W2494437349 hasAuthorship W2494437349A5017233242 @default.
- W2494437349 hasAuthorship W2494437349A5067184222 @default.
- W2494437349 hasConcept C95457728 @default.
- W2494437349 hasConceptScore W2494437349C95457728 @default.
- W2494437349 hasLocation W24944373491 @default.
- W2494437349 hasOpenAccess W2494437349 @default.
- W2494437349 hasPrimaryLocation W24944373491 @default.
- W2494437349 hasRelatedWork W2067388071 @default.
- W2494437349 hasRelatedWork W2319470185 @default.
- W2494437349 hasRelatedWork W2478337908 @default.
- W2494437349 hasRelatedWork W2480794981 @default.
- W2494437349 hasRelatedWork W2488258410 @default.
- W2494437349 hasRelatedWork W2503791906 @default.
- W2494437349 hasRelatedWork W2586334612 @default.
- W2494437349 hasRelatedWork W2586510063 @default.
- W2494437349 hasRelatedWork W2899084033 @default.
- W2494437349 hasRelatedWork W2908402300 @default.
- W2494437349 isParatext "false" @default.
- W2494437349 isRetracted "false" @default.
- W2494437349 magId "2494437349" @default.
- W2494437349 workType "book-chapter" @default.