An earlier article, quot;Implied Binomial Trees,quot; introduced a theoretical model for implying the stochastic process of an underlying asset price from the prices of associated options. This sequel provides details concerning application of the model to the full record of Samp;P 500 index...

This paper summarizes a program of research we have conducted over the past four years. So far, it has produced two published articles, one forthcoming paper, one working paper currently under review at a journal, and three working papers in progress. The research concerns the recovery of...

This paper derives underlying asset risk-neutral probability distributions of European options on the Samp;P 500 index. Nonparametric methods are used to choose probabilities which minimize an objective function subject to requiring that the probabilities are consistent with observed option and...

How do stock prices evolve over time? The standard assumption of geometric Brownian motion, questionable as it has been right along, is even more doubtful in light of the recent stock market crash and the subsequent prices of U.S. index options. With the development of rich and deep markets in...