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The Relation between Implied and Realised Probability Density Functions · Study

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PreprintThe Relation between Implied and Realised Probability Density Functions

Iliana Anagnou2002

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Preprintgreen2002

The Relation between Implied and Realised Probability Density Functions

Iliana Anagnou · Mascia Bedendo · Stewart D. Hodges · Robert George Tompkins

31 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 1998Evaluating Density Forecasts with Applications to Financial Risk Management 2000Post-'87 crash fears in the S&P 500 futures option market 1998Implied Volatility Functions: Empirical Tests 1997Processes of normal inverse Gaussian type 1987Efficient Analytic Approximation of American Option Values

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2007The Impact of Overnight Periods on Option Pricing

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2013Forecasting with Option-Implied Informationchapter · 32 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 23 shared references 1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Reviewpreprint · 19 shared references 2018Risk-Neutral Densities: A Reviewreview · 19 shared references 2003Estimation of risk-neutral densities using positive convolution approximationarticle · 17 shared references 2007Closed-form transformations from risk-neutral to real-world distributionsarticle · 16 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.302280

openalex_workW1504746071

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