Search Results

There are 11715 results for: content related to: Implied Binomial Trees

  1. Is the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restriction

    Journal of Futures Markets

    Volume 33, Issue 7, July 2013, Pages: 629–652, Biao Guo, Qian Han and Doojin Ryu

    Article first published online : 29 MAY 2012, DOI: 10.1002/fut.21563

  2. Implied Risk Neutral Densities From Option Prices: Hypergeometric, Spline, Lognormal, and Edgeworth Functions

    Journal of Futures Markets

    Volume 35, Issue 7, July 2015, Pages: 655–678, André Santos and João Guerra

    Article first published online : 1 APR 2014, DOI: 10.1002/fut.21668

  3. Valuing Seller-Defaultable Options

    Journal of Futures Markets

    Volume 33, Issue 2, February 2013, Pages: 129–157, Jin-Ray Lu, Yi-Chun Chen, Chih-Chiang Hwang and Yi-Chun Ting

    Article first published online : 3 FEB 2012, DOI: 10.1002/fut.21542

  4. The Distribution of Uncertainty: Evidence from the VIX Options Market

    Journal of Futures Markets

    Volume 35, Issue 7, July 2015, Pages: 597–624, Clemens Völkert

    Article first published online : 15 MAY 2014, DOI: 10.1002/fut.21673

  5. The Quanto Adjustment and the Smile

    Journal of Futures Markets

    Volume 32, Issue 9, September 2012, Pages: 877–908, Jacinto Marabel Romo

    Article first published online : 6 SEP 2011, DOI: 10.1002/fut.20545

  6. ITMs versus OTMs

    Asia-Pacific Journal of Financial Studies

    Volume 41, Issue 4, August 2012, Pages: 517–539, Sun-Joong Yoon and So Hyun Kang

    Article first published online : 20 AUG 2012, DOI: 10.1111/j.2041-6156.2012.01081.x

  7. Recovering Probability Distributions from Option Prices

    The Journal of Finance

    Volume 51, Issue 5, December 1996, Pages: 1611–1631, JENS CARSTEN JACKWERTH and MARK RUBINSTEIN

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1996.tb05219.x

  8. Option pricing for the transformed-binomial class

    Journal of Futures Markets

    Volume 26, Issue 8, August 2006, Pages: 759–788, António Câmara and San-Lin Chung

    Article first published online : 21 JUN 2006, DOI: 10.1002/fut.20218

  9. Empirical Comparison of Alternative Implied Volatility Measures of the Forecasting Performance of Future Volatility

    Asia-Pacific Journal of Financial Studies

    Volume 41, Issue 1, February 2012, Pages: 103–124, Dong Woo Rhee, Suk Joon Byun and Sol Kim

    Article first published online : 9 FEB 2012, DOI: 10.1111/j.2041-6156.2011.01066.x

  10. Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates

    International Review of Finance

    Volume 3, Issue 3-4, September 2002, Pages: 233–272, George J. Jiang

    Article first published online : 23 DEC 2004, DOI: 10.1111/j.1369-412X.2002.00040.x

  11. Viewpoint: Option prices, preferences, and state variables

    Canadian Journal of Economics/Revue canadienne d'économique

    Volume 38, Issue 1, February 2005, Pages: 1–27, René Garcia, Richard Luger and Éric Renault

    Article first published online : 26 JAN 2005, DOI: 10.1111/j.0008-4085.2005.00266.x

  12. Option Prices and the Underlying Asset's Return Distribution

    The Journal of Finance

    Volume 46, Issue 3, July 1991, Pages: 1045–1069, BRUCE D. GRUNDY

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb03776.x

  13. The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility

    Journal of Forecasting

    Volume 34, Issue 3, April 2015, Pages: 177–190, Arjun Chatrath, Hong Miao, Sanjay Ramchander and Tianyang Wang

    Article first published online : 24 FEB 2015, DOI: 10.1002/for.2331

  14. Pricing options using implied trees: Evidence from FTSE-100 options

    Journal of Futures Markets

    Volume 22, Issue 7, July 2002, Pages: 601–626, Kian Guan Lim and Da Zhi

    Article first published online : 3 MAY 2002, DOI: 10.1002/fut.10019

  15. Implied trees in illiquid markets: A Choquet pricing approach

    International Journal of Intelligent Systems

    Volume 17, Issue 6, June 2002, Pages: 577–594, Silvia Muzzioli and Costanza Torricelli

    Article first published online : 25 APR 2002, DOI: 10.1002/int.10039

  16. Option-Implied Risk Aversion Estimates

    The Journal of Finance

    Volume 59, Issue 1, February 2004, Pages: 407–446, Robert R. Bliss and Nikolaos Panigirtzoglou

    Article first published online : 27 NOV 2005, DOI: 10.1111/j.1540-6261.2004.00637.x

  17. Stock Options as Lotteries

    The Journal of Finance

    Volume 69, Issue 4, August 2014, Pages: 1485–1527, BRIAN H. BOYER and KEITH VORKINK

    Article first published online : 18 JUL 2014, DOI: 10.1111/jofi.12152

  18. Conditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations

    Journal of Futures Markets

    Volume 33, Issue 1, January 2013, Pages: 1–28, Suk Joon Byun and Byungsun Min

    Article first published online : 21 OCT 2011, DOI: 10.1002/fut.20551

  19. Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach

    Journal of Futures Markets

    Volume 22, Issue 1, January 2002, Pages: 1–30, Dimitris Flamouris and Daniel Giamouridis

    Article first published online : 8 NOV 2001, DOI: 10.1002/fut.2205

  20. Disasters Implied by Equity Index Options

    The Journal of Finance

    Volume 66, Issue 6, December 2011, Pages: 1969–2012, DAVID BACKUS, MIKHAIL CHERNOV and IAN MARTIN

    Article first published online : 14 NOV 2011, DOI: 10.1111/j.1540-6261.2011.01697.x