Stock Price Bubbles - An Option-based Indicator

Datum

29.11.2018

Zeit

14:00 - 15:00

Sprecher

Dr. Martin Simon

Zugehörigkeit

Deka Investment GmbH

Serie

TUD Mathematik AG Analysis & Stochastik

Sprache

en

Hauptthema

Mathematik

Andere Themen

Mathematik

Host

Prof. Dr. M. Keller-Ressel

Beschreibung

In this talk we are going to discuss an option-based mathematical indicator for stock price bubbles. The first introductory part recaps the strict local martingale theory for modeling asset price bubbles and its implications for pricing contingent claims. In the second part we present a novel forward-looking indicator based on the information content of bid and ask market quotes for exchange-traded plain vanilla options. Our construction is motivated by a recent theoretical result by A. Jacquier and M. Keller-Ressel proving that bubbles can be identified from the asymptotic behavior of the implied volatility surface. However, in practice, the resulting inverse parameter identification problem is ill-posed and we adopt a statistical perspective in order to cope with this ill-posedness and to quantify the indicator’s inherent uncertainty. Finally, we provide real-market tests of the proposed indicator with focus on tech stocks addressing increasing concerns about a tech bubble 2.0.

Links

• AG Analysis & Stochastik

Letztmalig verändert: 23.10.2018, 12:00:07