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Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review

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1999

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-52906
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https://doi.org/10.3905/jod.1999.319143
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Attribution-NonCommercial-NoDerivs 2.0 Generic

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Open Access Green

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Published

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Journal of Derivatives. 1999, 7(2), pp. 66-82. ISSN 1074-1240. Available under: doi: 10.3905/jod.1999.319143

Zusammenfassung

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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330 Wirtschaft

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ISO 690JACKWERTH, Jens, 1999. Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review. In: Journal of Derivatives. 1999, 7(2), pp. 66-82. ISSN 1074-1240. Available under: doi: 10.3905/jod.1999.319143
BibTex
@article{Jackwerth1999Optio-12210,
  year={1999},
  doi={10.3905/jod.1999.319143},
  title={Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review},
  number={2},
  volume={7},
  issn={1074-1240},
  journal={Journal of Derivatives},
  pages={66--82},
  author={Jackwerth, Jens}
}
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