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Inferring risk-averse probability distributions from option prices using implied binomial trees

Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011

Persistent link: https://www.econbiz.de/10008988015

Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees : Additional Theory and Extensions

Arnold, Tom - 2009

Arnold, Crack and Schwartz (ACS) (2010) generalize the Rubinstein (1994) risk-neutral implied binomial tree (R-IBT) model by introducing a risk premium. Their new risk-averse implied binomial tree model (RA-IBT) has both probabilistic and pricing applications. They use the RA-IBT model to...

Persistent link: https://www.econbiz.de/10013159307

Do option markets substitute for stock markets? Evidence from trading on anticipated tender offer announcements

Arnold, Tom; Erwin, Gayle R.; Nail, Lance; Nixon, Terry - In: International review of financial analysis 15 (2006) 3, pp. 247-255

Persistent link: https://www.econbiz.de/10003348604

Short-maturity options and jump memory

Arnold, Tom; Hilliard, Jimmy E.; Schwartz, Adam - In: The journal of financial research 30 (2007) 3, pp. 437-454

Persistent link: https://www.econbiz.de/10003537005