Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 17, 2014 erstellt
Beschreibung:
In this paper we study the risk-neutral densities (RNDs) for the Indian stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the NIFTY-50 index. For the period from January 2009 to April 2014 we use an approach for the smoothing techniques from the literature and a method of completing the density with tails drawn from a Generalized Extreme Value (GEV) distribution. The RNDs provides an exceptional detail about investor's expectations as intraday volatility increase close to the expiry. We examine the manner in which volatility in the Indian options market is affected with respect to variable time to maturity of options, in changing 'macroeconomic events', 'quarterly result announcement', 'budget announcement by the Central Government' and other 'monthly Variation' (e.g. January effect). We observe a significant increase in standard deviation of RNDs (SD_RND) during the quarter ending months implying a more volatile market during these months. Although neither any month effect nor any effects of Budget announcements on the options market could be confirmed