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

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  • Miguel Cantillo Simon

    (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.

Suggested Citation

  • Miguel Cantillo Simon, 2019. "Obtaining implied volatilities from interest rate differentials: New York from 1900 to 1934," Working Papers 201903, Universidad de Costa Rica, revised Nov 2019.
    • Handle: RePEc:fcr:wpaper:201903
    as

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    File URL: https://economia.ucr.ac.cr/sites/default/files/2021-10/EE%20UCR%20SDT%2019-03.pdf
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    References listed on IDEAS

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