SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review · Study

PreprintShelves

PreprintOption Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

Jens Carsten Jackwerth1999

OA

Preprintgreen1999

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

Jens Carsten Jackwerth

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 78 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 1998Implied Volatility Functions: Empirical Tests

Cited by

2006Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index 2014A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions 2008Stochastic Local Volatility 2001Reading PIBOR futures options smiles: The 1997 snap election 2002The Relation between Implied and Realised Probability Density Functions 2012Eatimating risk aversion, Risk-Neutral and Real-World Densities using Brasilian Real currency options

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 44 shared references 1999Option-Implied Risk-Neutral Distributions and Implied Binomial Treesarticle · 29 shared references 2013Forecasting with Option-Implied Informationchapter · 26 shared references 2003Estimation of risk-neutral densities using positive convolution approximationarticle · 23 shared references 2018Risk-Neutral Densities: A Reviewreview · 22 shared references 2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEYarticle · 19 shared references

Details

Year1999

Typepreprint

Published1999-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations78

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2139/ssrn.183705

openalex_workW2165776944

Links

Imported from OpenAlex (CC0) — nothing here is generated.