Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22183
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dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorBlaskowitz, Oliver J.en_US
dc.contributor.authorSchmidt, Peteren_US
dc.date.accessioned2009-01-29T14:54:11Z-
dc.date.available2009-01-29T14:54:11Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/22183-
dc.description.abstractIn this paper we investigate the profitability of ?skewness trades? and ?kurtosis trades? based on comparisons of implied state price densities versus historical densities. In particular, we examine the ability of SPD comparisons to detect structural breaks in the options market behaviour. While the implied state price density is estimated by means of the Barle and Cakici Implied Binomial Tree algorithm using a cross section of DAX option prices, the historical density is inferred by a combination of a non?parametric estimation from a historical time series of the DAX index and a forward Monte Carlo simulation.en_US
dc.language.isoengen_US
dc.relation.ispartofseries|aPapers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) |x2004,09en_US
dc.subject.ddc330en_US
dc.titleSkewness and Kurtosis Tradesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn495280402en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:caseps:200409-

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