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Option pricing : real and risk-neutral distributions

Kōnstantinidēs, Giōrgos (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003221993

Recovering probability distributions from option prices

Jackwerth, Jens Carsten - In: The journal of finance : the journal of the American … 51 (1996) 5, pp. 1611-1631

Persistent link: https://www.econbiz.de/10001211781

The price of a smile : hedging and spanning in option markets

Buraschi, Andrea (contributor); … - 1999 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001700533

The price of a smile : hedging and spanning in option markets

Buraschi, Andrea; Jackwerth, Jens Carsten - In: The review of financial studies 14 (2001) 2, pp. 495-527

Persistent link: https://www.econbiz.de/10001570577

Asymmetric volatility risk : evidence from option markets

Jackwerth, Jens Carsten; Vilkov, Grigory - In: Review of finance : journal of the European Finance … 23 (2019) 4, pp. 777-799

Persistent link: https://www.econbiz.de/10012035136

Asymmetric Volatility Risk : Evidence from Option Markets

Jackwerth, Jens Carsten - 2018

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX). While the bivariate risk-neutral distribution...

Persistent link: https://www.econbiz.de/10012938323