Option Pricing: Real and Risk-Neutral Distributions
Title | Option Pricing: Real and Risk-Neutral Distributions PDF eBook |
Author | George M. Constantinides |
Publisher | |
Pages | |
Release | 2008 |
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Option-Implied Risk-Neutral Distributions and Risk Aversion
Title | Option-Implied Risk-Neutral Distributions and Risk Aversion PDF eBook |
Author | Jens Carsten Jackwerth |
Publisher | |
Pages | |
Release | 2008 |
Genre | |
ISBN |
Option Pricing
Title | Option Pricing PDF eBook |
Author | |
Publisher | |
Pages | |
Release | 2005 |
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ISBN |
Risk Neutral Distributions Implied in Option Prices and Their Relevance for Monetary Policy
Title | Risk Neutral Distributions Implied in Option Prices and Their Relevance for Monetary Policy PDF eBook |
Author | Luca Cazzulani |
Publisher | |
Pages | 153 |
Release | 2001 |
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ISBN |
Option Implied Risk-Neutral Distributions and Implied Binomial Trees
Title | Option Implied Risk-Neutral Distributions and Implied Binomial Trees PDF eBook |
Author | Jens Carsten Jackwerth |
Publisher | |
Pages | 17 |
Release | 2008 |
Genre | |
ISBN |
In this partial and selective literature review of option implied risk-neutral distributions and of implied binomial trees, we start by observing that in efficient markets, there is information contained in option prices, which 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 extend our attention 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, which incorporate stochastic volatility, as well as other non-parametric methods.
Extracting Risk-neutral Probability Distributions from Option Prices Using Trading Volume as a Filter
Title | Extracting Risk-neutral Probability Distributions from Option Prices Using Trading Volume as a Filter PDF eBook |
Author | Dominique Y. Dupont |
Publisher | |
Pages | 32 |
Release | 2001 |
Genre | Asset allocation |
ISBN |
A Time Series Approach to Option Pricing
Title | A Time Series Approach to Option Pricing PDF eBook |
Author | Christophe Chorro |
Publisher | Springer |
Pages | 202 |
Release | 2014-12-04 |
Genre | Business & Economics |
ISBN | 3662450372 |
The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.