Option-implied probability distributions : How reliable? How jagged?
Marco Taboga
| Year of publication: |
September 2016
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| Authors: | Taboga, Marco |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 45.2016, p. 453-469
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| Subject: | Implied state prices | Implied risk-neutral distributions | State price estimation | Option-implied distributions | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Schätzung | Estimation | Optionsgeschäft | Option trading | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2016.07.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011626502