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Options and market expectations: implied probability density functions on the Polish foreign exchange market
Bańbuła, Piotr - In: Bank i kredyt 39 (2008) 5, pp. 21-49
Persistent link: https://www.econbiz.de/10003760007
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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
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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A quantitative mirror on the Euribor market using implied probability density functions
Puigvert-Gutiérrez, Josep Maria; De Vincent-Humphreys, … - In: Eurasian economic review : a journal of the Eurasia … 2 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010340001
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Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284
Persistent link: https://www.econbiz.de/10010509739
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Recovering probabilities and risk aversion from options prices and realized returns
Rubinstein, Mark; Jackwerth, Jens Carsten - In: The legacy of Fischer Black, (pp. 125-160). 2005
Persistent link: https://www.econbiz.de/10003404035
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Extracting market expectations from option prices : case studies in Japanese option markets
Nakamura, Hisashi; Shiratsuka, Shigenori - 1999
Persistent link: https://www.econbiz.de/10001442562
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GARCH Effekte in der Optionsbewertung : empirisch fundierte Simulationsergebnisse
Geyer, Alois - In: Journal of business economics : JBE 65 (1995) 5, pp. 533-549
Persistent link: https://www.econbiz.de/10001181156
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On bounding option prices in Paretian stable markets
Popova, Ivilina - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 32-43
Persistent link: https://www.econbiz.de/10001246678
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Asian options, the sum of lognormals, and the reciprocal gamma distribution
Milevsky, Moshe Arye - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 3, pp. 409-422
Persistent link: https://www.econbiz.de/10001251497