COVID-19 and market expectations: Evidence from option-implied densities
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DOI: 10.1016/j.econlet.2020.109441
Abstract: Abstract 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… read more here.
Keywords: implied densities; covid market; market expectations; evidence option ... See more keywords