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Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review
16 references·7 citing·34 second hop
Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review (1999)Option Implied Risk-Neutral Distributions…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Implied Binomial Trees (1994)Implied Binomial TreesBond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…Option pricing: A simplified approach (1979)Option pricing: A simplified …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Options and Efficiency (1976)Options and EfficiencyThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions (2014)A Simple and Reliable Way to …Eatimating risk aversion, Risk-Neutral and Real-World Densities using Brasilian Real currency options (2012)Eatimating risk aversion, Ris…Stochastic Local Volatility (2008)Stochastic Local VolatilityExtracting Model-Free Volatility from Option Prices: An Examination of the VIX Index (2006)Extracting Model-Free Volatil…Hedging with Stochastic Local Volatility (2004)Hedging with Stochastic Local…The Relation between Implied and Realised Probability Density Functions (2002)The Relation between Implied …Reading PIBOR futures options smiles: The 1997 snap election (2001)Reading PIBOR futures options…Theory of Value (1959)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)The Pricing of Options on Assets with Stochastic Volatilities (1987)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)The Model-Free Implied Volatility and Its Information Content (2005)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 1976Options and Efficiency830 cited

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Nonparametric risk management and implied risk aversion
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Cited by

  • 2006Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index61 cited
  • 2014A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions49 cited
  • 2008Stochastic Local Volatility47 cited
  • 2001Reading PIBOR futures options smiles: The 1997 snap election37 cited
  • 2002The Relation between Implied and Realised Probability Density Functions31 cited
  • 2012Eatimating risk aversion, Risk-Neutral and Real-World Densities using Brasilian Real currency options30 cited
  • 2004Hedging with Stochastic Local Volatility26 cited