KOPS - Das Institutionelle Repositorium der Universität Konstanz

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

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

Zitieren

Dateien zu dieser Ressource

Prüfsumme: MD5:fdeb02229042cffbd956e102ac8cf796

JACKWERTH, Jens Carsten, 1999. Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review. In: Journal of Derivatives. 7(2), pp. 66-82. ISSN 1074-1240. Available under: doi: 10.3905/jod.1999.319143

@article{Jackwerth1999Optio-12210, title={Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review}, year={1999}, doi={10.3905/jod.1999.319143}, number={2}, volume={7}, issn={1074-1240}, journal={Journal of Derivatives}, pages={66--82}, author={Jackwerth, Jens Carsten} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/12210"> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12210"/> <dc:language>eng</dc:language> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12210/1/Option_Implied_Risk_Neutral_Distributions_and_Implied_Binomial_Trees.pdf"/> <dc:format>application/pdf</dc:format> <dcterms:title>Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review</dcterms:title> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/12210/1/Option_Implied_Risk_Neutral_Distributions_and_Implied_Binomial_Trees.pdf"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:29Z</dc:date> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <dc:rights>deposit-license</dc:rights> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dcterms:issued>1999</dcterms:issued> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:29Z</dcterms:available> <dcterms:bibliographicCitation>First publ. in: Journal of Derivatives 7 (1999), 2, pp. 66-82</dcterms:bibliographicCitation> <dcterms:rights rdf:resource="https://creativecommons.org/licenses/by-nc-nd/2.0/legalcode"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/46"/> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

Option_Implied_Risk_Neutral_Distributions_and_Implied_Binomial_Trees.pdf 588

Das Dokument erscheint in:

deposit-license Solange nicht anders angezeigt, wird die Lizenz wie folgt beschrieben: deposit-license

KOPS Suche


Stöbern

Mein Benutzerkonto