Abstract
Using OptionMetrics implied volatility surfaces for a sample of S&P 100 constituent stocks as of April 29, 2016, with historical data spanning from January 1996 to April 2016, this research provides additional empirical data regarding the informational content of option implied risk-neutral distributions. Two different methodologies are used to compute option-implied moments for the years 1996-2016: the first is based on Breeden-Litzenberger (1978) and the other on Bakshi, Kapadia and Madan (2003).
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