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There are 26534 results for: content related to: Recovering Probability Distributions from Option Prices

  1. 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

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

    Journal of Futures Markets

    Clemens Völkert

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

  3. Investigating the Information Content of the Model-Free Volatility Expectation by Monte Carlo Methods

    Journal of Futures Markets

    Volume 33, Issue 11, November 2013, Pages: 1071–1095, Yuanyuan Zhang, Stephen J. Taylor and Lili Wang

    Article first published online : 25 JUN 2012, DOI: 10.1002/fut.21570

  4. Effects of rollover strategies and information stability on the performance measures in options markets: An examination of the KOSPI 200 index options market

    Journal of Futures Markets

    Volume 32, Issue 4, April 2012, Pages: 360–388, Youngsoo Choi and SoonChan Ok

    Article first published online : 10 MAY 2011, DOI: 10.1002/fut.20522

  5. Options on bond futures: Isolating the risk premium

    Journal of Futures Markets

    Volume 23, Issue 2, February 2003, Pages: 169–215, Robert G. Tompkins

    Article first published online : 19 DEC 2002, DOI: 10.1002/fut.10058

  6. Distributions implied by American currency futures options: A ghost's smile?

    Journal of Futures Markets

    Volume 24, Issue 2, February 2004, Pages: 147–178, Martin Cincibuch

    Article first published online : 19 DEC 2003, DOI: 10.1002/fut.10098

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

    Journal of Futures Markets

    André Santos and João Guerra

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

  8. Stock index futures markets: stochastic volatility models and smiles

    Journal of Futures Markets

    Volume 21, Issue 1, January 2001, Pages: 43–78, Robert G. Tompkins

    Article first published online : 14 NOV 2000, DOI: 10.1002/1096-9934(200101)21:1<43::AID-FUT3>3.0.CO;2-0

  9. Expected Option Returns

    The Journal of Finance

    Volume 56, Issue 3, June 2001, Pages: 983–1009, Joshua D. Coval and Tyler Shumway

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00352

  10. 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

  11. Portfolio Management and Information from Over-the-Counter Currency Options

    Applied Quantitative Methods for Trading and Investment

    Christian L. Dunis, Jason Laws, Patrick Naïm, Pages: 349–380, 2005

    Published Online : 28 JAN 2005, DOI: 10.1002/0470013265.ch12

  12. 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

  13. Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion

    European Financial Management

    Volume 8, Issue 4, December 2002, Pages: 495–513, Christophe Pérignon and Christophe Villa

    Article first published online : 10 FEB 2003, DOI: 10.1111/1468-036X.00201

  14. On the Importance of the Traders’ Rules for Pricing Options: Evidence From Intraday Data

    Asia-Pacific Journal of Financial Studies

    Volume 43, Issue 6, December 2014, Pages: 873–894, Sol Kim and Changjun Lee

    Article first published online : 8 JAN 2015, DOI: 10.1111/ajfs.12075

  15. Dividend-Rollover Effect and the Ad Hoc Black-Scholes Model

    Journal of Futures Markets

    Volume 32, Issue 8, August 2012, Pages: 742–772, Youngsoo Choi, Steven J. Jordan and Soonchan Ok

    Article first published online : 7 FEB 2012, DOI: 10.1002/fut.21541

  16. Extracting market views from the price of options on futures

    Journal of Futures Markets

    Volume 18, Issue 1, February 1998, Pages: 1–34, Gregory M. Martinez

    Article first published online : 7 DEC 1998, DOI: 10.1002/(SICI)1096-9934(199802)18:1<1::AID-FUT1>3.0.CO;2-H

  17. A random walk down the options market

    Journal of Futures Markets

    Volume 32, Issue 6, June 2012, Pages: 505–535, George J. Jiang and Yisong S. Tian

    Article first published online : 27 APR 2011, DOI: 10.1002/fut.20528

  18. Forecasting Volatility

    Financial Markets, Institutions & Instruments

    Volume 6, Issue 1, February 1997, Pages: 1–88, Stephen Figlewski

    Article first published online : 26 DEC 2001, DOI: 10.1111/1468-0416.00009

  19. Implied Binomial Trees

    The Journal of Finance

    Volume 49, Issue 3, July 1994, Pages: 771–818, MARK RUBINSTEIN

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1994.tb00079.x

  20. Economic significance of risk premiums in the S&P 500 option market

    Journal of Futures Markets

    Volume 22, Issue 12, December 2002, Pages: 1147–1178, R. Brian Balyeat

    Article first published online : 16 OCT 2002, DOI: 10.1002/fut.10051