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Simulated Conditional Range Probabilities : An Excellent Approximation for the m out of n Day Provision
Guo, Shuxin - 2015
challenging problem of pricing MooN can then be better approximated. For a purposely designed exotic call option with a 20 out of …
Persistent link: https://www.econbiz.de/10013031862
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A Simple Derivation of Risk-Neutral Probability in the Binomial Option Pricing Model
Orosi, Greg - 2019
The traditional derivation of risk-neutral probability in the binomial option pricing framework used in introductory …
Persistent link: https://www.econbiz.de/10012904924
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Estimating Probability Distributions of Future Asset Prices : Empirical Transformations from Option-Implied Risk-Neutral to Real-World Density Functions
de Vincent-Humphreys, Rupert - 2012
The prices of derivatives contracts can be used to estimate ‘risk-neutral' probability density functions that give an indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the likely case that investors are risk-averse, this...
Persistent link: https://www.econbiz.de/10013104539
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Risk-Neutral Probabilities Explained
Gisiger, Nicolas - 2010
All too often, the concept of risk-neutral probabilities in mathematical finance is poorly explained, and misleading statements are made. The aim of this paper is to provide an intuitive understanding of risk-neutral probabilities, and to explain in an easily accessible manner how they can be...
Persistent link: https://www.econbiz.de/10013152871
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Momentum and Reversion in Risk Neutral Martingale Probabilities
Madan, Dilip B. - 2014
chain approximations give access to option prices. The model is estimated on option prices across strike and maturity for …
Persistent link: https://www.econbiz.de/10013064149
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A quantitative mirror on the Euribor market using implied probability density functions
Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010
the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … financial crisis between 2007 and 2009. In doing so, it shows how option-implied probability density functions could be used to …
Persistent link: https://www.econbiz.de/10008901645
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Markov cubature rules for polynomial processes
Filipović, Damir; Larsson, Martin; Pulido, Sergio - 2016
rules aid the tractability of path-dependent tasks such as American option pricing in models where the underlying factors …
Persistent link: https://www.econbiz.de/10011626304
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Probability Weighting Functions Implied in Options Prices
Polkovnichenko, Valery - 2012
The empirical pricing kernels estimated from index options are non-monotone (Rosenberg and Engle, 2002; Bakshi, Madan, and Panayotov, 2010) and the corresponding risk aversion functions can be negative (Ait-Sahalia and Lo, 2000; and Jackwerth, 2000). We show theoretically that these and several other...
Persistent link: https://www.econbiz.de/10013096513
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Signed Infinitely Divisible Signed Probability Models in Finance
Madan, Dilip B. - 2020
Procedures for constructing the characteristic functions of risk neutral densities, from option prices at a fixed … formal Lévy tails embedded in option prices are observed on occasion to be negative, reflecting signed Lévy measures. Though … developed and calibrated to short maturity option prices. The ratio models provide significant improvements over their non …
Persistent link: https://www.econbiz.de/10012846690