Obtaining implied volatilities from interest ratedifferentials: New York from 1900 to 1934
Detalles
  • Autor(es) Miguel Cantillo
  • Enlace   IR AL ARCHIVO
  • Tipo Documentos de Trabajo
  • Fecha de
    Publicación     Julio 2019
Resumen

This paper obtains monthly implied volatilities of the NYSE from1900 to 1934 from interest rate differentials.  The resulting impliedvolatilities were about 40% higher than their modern (2007-2019) coun-terparts, justifying an market risk premium almost twice as high as thecurrent level.