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Citations for "Do option markets correctly price the probabilities of movement of the underlying asset?"

by Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis

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  1. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research and International Relations Area.
  2. Pedro Santa-Clara & Shu Yan, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers 10912, National Bureau of Economic Research, Inc.
  3. Glatzer, Ernst & Scheicher, Martin, 2003. "Modelling the implied probability of stock market movements," Working Paper Series 0212, European Central Bank.
  4. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
  5. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  6. Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, School of Economics and Management, University of Aarhus.
  7. Wolfers, Justin & Zitzewitz, Eric, 2004. "Prediction Markets," Research Papers 1854, Stanford University, Graduate School of Business.
  8. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  9. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
  10. Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  11. Pavel Cizek & Karel Komorad, 2005. "Implied Trinomial Trees," SFB 649 Discussion Papers SFB649DP2005-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  13. Broadie, Mark & Chernov, Mikhail & Johannes, Michael, 2007. "Understanding Index Option Returns," CEPR Discussion Papers 6239, C.E.P.R. Discussion Papers.
  14. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
  15. Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2005. "Explaining the level of credit spreads: option-implied jump risk premia in a firm value model," BIS Working Papers 191, Bank for International Settlements.
  16. Zdenek Hlavka & Michal Pesta, 2006. "Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing," SFB 649 Discussion Papers SFB649DP2006-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
  18. Leigh, Andrew & Wolfers, Justin & Zitzewitz, Eric, 2003. "What do Financial Markets Think of War in Iraq?," Research Papers 1785, Stanford University, Graduate School of Business.
  19. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
  20. João Amaro de Matos & Nuno Silva, 2011. "Consuming durable goods when stock markets jump: a strategic asset allocation approach," GEMF Working Papers 2012-01, GEMF - Faculdade de Economia, Universidade de Coimbra.
  21. Hördahl, Peter & Vestin, David, 2003. "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series 0274, European Central Bank.
  22. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management qt7jp8f42t, Anderson Graduate School of Management, UCLA.
  23. Yuri Golubev & Wolfgang Härdle & Roman Timonfeev, 2008. "Testing Monotonicity of Pricing Kernels," SFB 649 Discussion Papers SFB649DP2008-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  24. Kliger, Doron & Levy, Ori, 2009. "Theories of choice under risk: Insights from financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 330-346, August.
  25. Amadeo Alentorn & Sheri Markose, 2006. "Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics," Economics Discussion Papers 609, University of Essex, Department of Economics.
  26. 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.
  27. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago.
  28. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
  29. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus.
  30. Frankel, David M., 2007. "Adaptive Expectations and Stock Market Crashes," Staff General Research Papers 12817, Iowa State University, Department of Economics.
  31. Lautier, Delphine & Javaheri, Alireza & Galli, Alain, 2003. "Filtering in Finance," Economics Papers from University Paris Dauphine 123456789/871, Paris Dauphine University.
  32. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
  33. Bekaert, Geert & Hoerova, Marie & Scheicher, Martin, 2009. "What do asset prices have to say about risk appetite and uncertainty?," Working Paper Series 1037, European Central Bank.
  34. Kim, Don H. & Loretan, Mico & Remolona, Eli M., 2010. "Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market," Journal of Asian Economics, Elsevier, vol. 21(3), pages 314-326, June.
  35. Schmitz, Jochen & Ledebur, Oliver von, 2012. "The 2007 emerging corn price surge revisited – Was it expected or a large surprise?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 123971, International Association of Agricultural Economists.
  36. Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc.
  37. Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 385-403, November.
  38. Wolfgang Härdle & Zdenek Hlavka, 2005. "Dynamics of State Price Densities," SFB 649 Discussion Papers SFB649DP2005-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  39. repec:qut:auncer:2012_11 is not listed on IDEAS
  40. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
  41. Yacine Aït-Sahalia, 2002. "Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion," Journal of Finance, American Finance Association, vol. 57(5), pages 2075-2112, October.
  42. Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin, 2003. "The Forecasting Performance of German Stock Option Densities," Discussion Paper Series 1: Economic Studies 2003,17, Deutsche Bundesbank, Research Centre.
  43. Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum, 2004. "Individual Stock-Option Prices and Credit Spreads," Yale School of Management Working Papers amz2391, Yale School of Management, revised 01 Jan 2005.
  44. Takkabutr, Nattapol, 2013. "Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 137-157, December.
  45. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  46. Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
  47. Jong, F.C.J.M. de & Driessen, J. & Pelsser, A., 2004. "On the information in the interest rate term structure and option prices," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3159390, Tilburg University.
  48. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  49. Härdle, Wolfgang Karl & Blaskowitz, Oliver J. & Schmidt, Peter, 2004. "Skewness and Kurtosis Trades," Papers 2004,09, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  50. Martin Cincibuch & David Vavra, 2004. "Testing for the uncovered interest parity using distributions implied by FX options," Money Macro and Finance (MMF) Research Group Conference 2003 16, Money Macro and Finance Research Group.
  51. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  52. Bødskov Andersen, Allan & Wagener, Tom, 2002. "Extracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices," Working Paper Series 0198, European Central Bank.
  53. Amaro de Matos, João & Silva, Nuno, 2014. "Consuming durable goods when stock markets jump: A strategic asset allocation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 86-104.
  54. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June.
  55. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, EconWPA.