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Recovering Probability Distributions from Option Prices
2 references·16 citing·37 second hop
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References

  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited

Cited by

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  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 2001Expected Option Returns771 cited
  • 2012Ex Ante Skewness and Expected Stock Returns762 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 2002Beyond Greed and Fear528 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2013Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks489 cited
  • 2006Is Economics Performative? Option Theory and the Construction of Derivatives Markets

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473 cited
  • 2001The Determinants of Asymmetric Volatility441 cited
  • 2009Volatility Spreads and Expected Stock Returns407 cited
  • 2004An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks391 cited