OptionMetrics

View/Open
Metadata
Show full item record
Abstract
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main source of options pricing, implied volatility calculations, volatility surfaces, and analytics. We enable traders to construct, test, and execute options/derivatives investment strategies and accurately monitor their risk exposure, so that they can make more informed and, ultimately, more profitable investment decisions.
Research Area
Financial Markets
Systemic Risk Lab
Financial Institutions
Transparency Lab
Keywords
extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization, systemic risk, value-at-risk, equity options, implied volatility, asset pricing, epstein-zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile, preference for early resolution of uncertainty, cross-sectionof expected stock returns, bubbles, option prices, sentiment, valuation ratios, volatility
JEL Classification
G11, G12, G13, G17, G01, G28, G32, E44, D81, G10, G14
Working Paper References
Topic
Consumption
Saving and Borrowing
Systematic Risk
Publication Type
Research Data
Link to Publication
Collections
Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International