The State Price Density Implied by Crude Oil Futures and Option Prices
研究发现原油期货和期权价格隐含的状态价格密度呈U形，投资者对油价大幅涨跌赋予高状态价格，且该密度包含经济状况和未来证券收益的独特信息。
Abstract Both large oil price increases and decreases are associated with deteriorating economic conditions. The projection of the state price density (SPD) onto oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because investors assign high state prices to large negative and large positive oil returns, the U-shaped SPD may steepen in either tail when economic conditions deteriorate. The positive return region of the SPD is more closely related to economic conditions. The oil SPD contains information about economic conditions and future security returns that is distinct from the information in the stock index SPD.