Market Expectations And Probability Distributions Implicit In Option Prices
نویسندگان
چکیده
منابع مشابه
Product Market Competition and Option Prices ∗
Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. We demonstrate that, through its effects on stock prices, product market competition affects the prices of options on equity naturally and leads to an inverse relationship between equity returns and volatility, gen...
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Probability distributions of stock market returns have typically been estimated from historical time series. The possibility of extreme events such as the stock market crash of 1987 makes this a perilous enterprise. Alternative parametric and nonparametric approaches use contemporaneously observed option prices to recover their underlying risk-neutral probability distribution. Parametric method...
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ژورنال
عنوان ژورنال: International Business & Economics Research Journal (IBER)
سال: 2011
ISSN: 2157-9393,1535-0754
DOI: 10.19030/iber.v3i10.3729