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...
