Arbeitspapier
Extracting risk-neutral probability distributions from option prices using trading volume as a filter
This paper introduces a new technique to infer the risk-neutral probability distribution of an asset from the prices of options on this asset. The technique is based on using the trading volume of each option as a proxy of the informativeness of the option. Not requiring the implied probability distribution to recover exactly the market prices of the options allows us to weight each option by a function of its trading volume. As a result, we obtain implied probability distributions that are both smoother and should be more reflective of fundamentals.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 104
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
implied risk-neutral probability distribution
implied-tree method
Optionspreistheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dupont, Dominique Y.
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dupont, Dominique Y.
- Institute for Advanced Studies (IHS)
Entstanden
- 2001
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