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Recovering the real-world density and liquidity premia from option data

Barkhagen, Mathias; Blomvall, Jörgen; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344223

Spread options and risk management : lognormal versus normal distribution approach

Brooks, Robert; Cline, Brandon N. - In: Financial services review : the journal of individual … 24 (2015) 1, pp. 15-35

Persistent link: https://www.econbiz.de/10011312166

Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing

Vitiello, Luiz; Poon, Ser-Huang - In: Review of derivatives research 17 (2014) 2, pp. 241-259

Persistent link: https://www.econbiz.de/10010529622

VarGamma stresstests

Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107

Persistent link: https://www.econbiz.de/10009763897

Extracting risk-neutral probability distributions from option prices using trading volume as a filter

Dupont, Dominique Y. - 2001

This paper introduces a new technique to infer the risk-neutral probability distribution of an asset from the prices of options on this asset. The technique is based on using the trading volume of each option as a proxy of the informativeness of the option. Not requiring the implied probability...

Persistent link: https://www.econbiz.de/10009725020