Advanced Search
MyIDEAS: Login to save this paper or follow this series

Option Prices and the Underlying Asset's Return Distribution

Contents:

Author Info

  • Grundy, R.D.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Wharton School - Weiss Center for International Financial Research in its series Weiss Center Working Papers with number 11-91.

    as in new window
    Length: 26 pages
    Date of creation: 1991
    Date of revision:
    Handle: RePEc:fth:pennif:11-91

    Contact details of provider:
    Postal: 3404 Steinberg Hall-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104-6367
    Phone: (215)898-7626
    Fax: (215)573-2242
    Email:
    Web page: http://finance.wharton.upenn.edu/weiss/
    More information through EDIRC

    Related research

    Keywords: stock market ; prices;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Jouini, Elyès & Chazal, Marie, 2008. "Equilibrium Pricing Bound on Option Prices," Economics Papers from University Paris Dauphine 123456789/30, Paris Dauphine University.
    2. Lo, Andrew W. (Andrew Wen-Chuan) & Wang, Jiang, 1959-, 1993. "Implementing option pricing models when asset returns are predictable," Working papers 3593-93., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Wong, Man Hong & Zhang, Shuzhong, 2013. "Computing best bounds for nonlinear risk measures with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 204-212.
    4. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
    5. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
    6. Wong, Man Hong & Zhang, Shuzhong, 2014. "On distributional robust probability functions and their computations," European Journal of Operational Research, Elsevier, vol. 233(1), pages 23-33.
    7. Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012. "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, vol. 223(1), pages 188-202.
    8. José Manuel Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," Working Papers 99-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    9. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc.
    10. Martin Cincibuch, 2002. "Distributions Implied by Exchange Traded Options: A Ghost’s Smile?," CERGE-EI Working Papers wp200, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
    11. Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012. "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 109-129, January.
    12. Jose Manuel Campa & P.H. Kevin Chang, 1996. "Options-based evidence of the credibility of the peseta in the ERM," Investigaciones Economicas, Fundación SEPI, vol. 20(1), pages 3-22, January.
    13. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:fth:pennif:11-91. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.