We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset. We develop two applications. First, we show how for a given stochastic asset model our approach makes it possible to simulate the underlying terminal asset...

We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized...

The ability of standard executive stock options to incite managers to adequately select the assets of their firm has been extensively questioned by academics and practitioners. However, very few alternatives exist or have been proposed to better control the investment strategies of top managers....

Reformulating the results of del Baño Rollin, Ferreiro-Castilla, and Utzet (2010), we are able to give necessary and sufficient conditions for the moments of the stock price to exist and extend Theorem 2.1 of Forde and Jacquier (2011). Precisely Forde and Jacquier (2011) provide necessary...