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Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review Author info | Abstract | Publisher info | Download info | Related research | Statistics Jackwerth, Jens Carsten
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In this selective literature review, we start by observing that in efficient markets, there is information incorporated in option prices that might help us to design option pricing models. To this end, we review the numerous methods of recovering risk-neutral probability distributions from option prices at one particular time to expiration and their applications. Next, we move beyond one time to expiration to the construction of implied binomial trees, which model the stochastic process of the underlying asset. Finally, we describe extensions of implied binomial trees, and other non-parametric methods.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
11634.
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Date of creation: 1999Date of revision:
Publication status: Published in Journal of Derivatives 2.7(1999): pp. 66-82Handle: RePEc:pra:mprapa:11634Contact details of provider: Postal: Schackstr. 4, D-80539 Munich, Germany Phone: +49-(0)89-2180-2219 Fax: +49-(0)89-2180-3900 Web page: http://mpra.ub.uni-muenchen.de More information through EDIRC
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Keywords: Binomial Trees ; Risk-Neutral ; Find related papers by JEL classification: D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
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Other versions: Buchen, Peter W. & Kelly, Michael, 1996.
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[Downloadable!]
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Keller, Joachim & Glatzer, Ernst & Craig, Ben R & Scheicher, Martin, 2003.
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2003,17, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Kabir K. Dutta & David F. Babbel, 2002.
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Center for Financial Institutions Working Papers
02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Other versions: Wael Bahsoun & Pawel Góra & Silvia Mayoral & Manuel Morales, .
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Anthony Tay & Kenneth F. Wallis, 2000.
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Econometric Society World Congress 2000 Contributed Papers
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[Downloadable!]
W. Härdle & J. Zheng, .
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Sonderforschungsbereich 373
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Mariangela Franch, 1998.
"La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni ,"
Quaderni DISA
010, Department of Computer and Management Sciences, University of Trento, Italy.
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John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
[Downloadable!]
Other versions: Martin Scheicher & Ernst Glatzer, 2003.
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Working Paper Series
212, European Central Bank.
[Downloadable!]
Wolfgang Härdle & Zdenek Hlavka, 2005.
"Dynamics of State Price Densities ,"
SFB 649 Discussion Papers
SFB649DP2005-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Other versions: Ben Craig & Ernst Glatzer & Joachim Keller & Martin Scheicher, 2003.
"The forecasting performance of German stock option densities ,"
Working Paper
0312, Federal Reserve Bank of Cleveland.
[Downloadable!]
Sheri Markose & Amadeo Alentorn, 2005.
"Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution ,"
Computing in Economics and Finance 2005
397, Society for Computational Economics.
[Downloadable!]
Daniel Giamouridis, 2005.
"Inferring option-implied investors' risk preferences ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 15(7), pages 479-488, April.
[Downloadable!] (restricted)
Sheri Markose & Amadeo Alentorn, 2005.
"The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing ,"
Economics Discussion Papers
594, University of Essex, Department of Economics.
[Downloadable!]
Alessandro Beber, 2001.
"Determinants of the implied volatility function on the Italian Stock Market ,"
Alea Tech Reports
010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
[Downloadable!]
A. Cherny, 2006.
"Weighted V@R and its Properties ,"
Finance and Stochastics ,
Springer, vol. 10(3), pages 367-393, September.
[Downloadable!] (restricted)
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