Eliazar, Iddo - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 4, pp. 699-706
, implied volatility term structures–critical “market information” emanating from call-option prices, and the Pietra index …–a quantitative economic measure of societal egalitarianism. Our study: (i) unveils an intrinsic “Pietra structure” of call …-option prices; (ii) introduces the notion of the “Pietra term structures” of financial assets; (iii) describes the probabilistic …