WHAT IS A "SECURITY" FOR PURPOSES OF THE U.S. FEDERAL SECURITIES LAWS? AN ANALYSIS OF FOREIGN EQUITY INTERESTS

By means of econometric methods, the information contained in options prices can be extracted. In the literature, two methods are most frequently chosen, namely the implied volatility and the risk-neutral density. The latter approach extends the frequently used concept of the volatility implicit in option prices to modelling the probabilities that market participants assign to all possible price levels of the underlying instrument. The entire RND offers a wider information set as it includes the third (skewness) and the fourth (kurtosis) moment of a distribution. The implied skewness measures the asymmetry in the expectations of the operators in the option markets around the mean. The kurtosis...