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In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

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Option prices and model-free measurement of implied herd behavior in stock markets

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Persistent link: https://www.econbiz.de/10010464790

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - Version: December 19, 2014

Persistent link: https://www.econbiz.de/10011418887

Option prices and model-free measurement of implied herd behavior in stock markets

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Persistent link: https://www.econbiz.de/10011333475

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Linders, Daniël - 2015

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date.The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10013026459

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