Recovering Probability Distributions from Option Prices
نویسندگان
چکیده
منابع مشابه
Recovering Probability Distributions from Contemporaneous Security Prices
Probability distributions of stock market returns have typically been estimated from historical time series. The possibility of extreme events such as the stock market crash of 1987 makes this a perilous enterprise. Alternative parametric and nonparametric approaches use contemporaneously observed option prices to recover their underlying risk-neutral probability distribution. Parametric method...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1996
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1996.tb05219.x