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High-Frequency Risk-Neutral Density Reactions to the Federal Open Market Comm...

B2FIND2026-04-28 收录

期权定价分析

政策市场反应

数据链接：

https://b2find.eudat.eu/dataset/8beeb893-1b61-5481-9242-16a3531a6771 数据链接链接失效反馈

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资源简介：

This dataset contains cross-sections of the last observed option quote for each strike of 17 underlyings 30 minutes before and after the Federal Open Market Committee (FOMC)...

应用场景：

社交媒体情感

政策市场反应

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期权交易价格波动与标的资产联动关系数据集

期权定价分析

波动率对冲策略

本数据集聚焦国内期权交易市场，核心覆盖期权合约价格波动、标的资产行情联动、期权定价核心指标三大维度，包含数据批次、标的资产类别、期权类型、行权价区间、期权对标的敏感度指数、隐含波动率偏离度、波动率风险溢价、期权杠杆倍数、平价偏离强度等 9 项核心字段，共计 96 条标准化结构化数据。数据来源为国内证券期货交易所合规发布的期权与标的资产行情数据，经标准化清洗、去重、一致性校验与结构化整理，确保数据真

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The VIX, the Variance Premium and Stock Market Volatility

金融市场波动率建模

期权定价分析

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in

NBER2013-04-01 更新40

Risk Preferences Implied by Synthetic Options

金融衍生品风险偏好

期权定价分析

The historical returns on equity index options are well known to be strikingly negative. That is typically explained either by investors having convex marginal utility over stock returns (e.g. crash/v

NBER2023-11-01 更新90

Market Response to Policy Initiatives during the Global Financial Crisis

政策市场反应

流动性风险

This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credi

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High-Frequency Risk-Neutral Density Reactions to the Federal Open Market Comm...

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