期刊
COMPUTATIONAL MANAGEMENT SCIENCE
卷 20, 期 1, 页码 -出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s10287-023-00447-1
关键词
Implied volatility; Investment disputes; Artificial options; Panel data; Sparsity; Changepoint detection
We propose a methodological approach for analyzing the impacts of investment disputes on option markets. The implied volatility of options reflects the unspecified uncertainty and additional risk brought about by these disputes. We introduce artificial options with constant maturity to emphasize these effects and use a panel data representation of artificial implied volatility smiles to ensure flexibility and transparency of the model.
We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statistical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochastically valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration.
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