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

Jackwerth, Jens

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

Dateien

Option_Implied_Risk_Neutral_Distributions_and_Implied_Binomial_Trees.pdfGröße: 354.96 KBDownloads: 1172

Datum

1999

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

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.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

JACKWERTH, 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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Universitätsbibliographie

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