Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review
| Type of Publication: | Journal article |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-52906 |
| Author: | Jackwerth, Jens Carsten |
| Year of publication: | 1999 |
| Published in: | Journal of Derivatives ; 7 (1999), 2. - pp. 66-82. - ISSN 1074-1240 |
| DOI (citable link): | https://dx.doi.org/10.3905/jod.1999.319143 |
| Summary: |
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.
|
| Subject (DDC): | 330 Economics |
| Link to License: | In Copyright |
Cite This
Files in this item
![[PDF]](/themes/Kops/images/mimes/pdf.png "PDF file"){kind=small}
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:rights>terms-of-use</dc:rights> <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> <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>
Downloads since Oct 1, 2014 (Information about access statistics)
| Option_Implied_Risk_Neutral_Distributions_and_Implied_Binomial_Trees.pdf | 992 |
This item appears in the following Collection(s)
Except where otherwise noted, this item's license is described as terms-of-use
Search KOPS
Browse
My Account
