Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18533
Authors: 
Husmann, Sven
Stephan, Andreas
Year of Publication: 
2005
Series/Report no.: 
DIW Discussion Papers 640
Abstract: 
Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against shares on the market index. Because this type of exchange options is not currently traded on the capital markets, Siegel's technique cannot yet be used in practice. This article will show that beta can also be estimated implicitly from the current market prices of plain vanilla options, based on the Capital Asset Pricing Model. We provide empirical evidence on implicit betas using prices of exchange options from the EUREX over years 2000 to 2004.
Subjects: 
Capital Asset Pricing Model
Beta
Option Pricing
JEL: 
G12
Document Type: 
Working Paper

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