Obtaining implied volatilities from interest rate differentials: New York from 1900 to 1934

Miguel Cantillo Simon ()
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Miguel Cantillo Simon: Universidad de Costa Rica

No 201903, Working Papers from Universidad de Costa Rica

Abstract: This paper obtains monthly implied volatilities of the NYSE from 1900 to 1934 from interest rate differentials. The resulting implied volatilities were about 40% higher than their modern (2007-2019) counterparts, justifying an market risk premium almost twice as high as the current level.

Pages: 22 pages
Date: 2019-07, Revised 2019-11
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Persistent link: https://EconPapers.repec.org/RePEc:fcr:wpaper:201903

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