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Reading the smile: the message conveyed by methods which infer risk neutral densities · Study

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ArticleReading the smile: the message conveyed by methods which infer risk neutral densities

Éric Jondeau2000

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Reading the smile: the message conveyed by methods which infer risk neutral densities

Éric Jondeau · Michael Rockinger

117 citations·0/0 files stored·Journal of International Money and Finance

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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 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets 1976The valuation of options for alternative stochastic processes

Cited by

2006Why Does Implied Risk Aversion Smile?2005Foreign exchange market intervention and expectations: The yen/dollar exchange rate 2013Forecasting with Option-Implied Information 1999Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review 2002Pricing Swaptions Within an Affine Framework 2010Pricing and Inference with Mixtures of Conditionally Normal Processes

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Year2000

Typearticle

Published2000-12-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations117

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0261-5606(00)00036-x

openalex_workW3122099208

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2011The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index

2007Estimating option implied risk‐neutral densities using spline and hypergeometric functions