Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities

Option Prices with Uncertain Fundamentals Theory and Evidence on the Dynamics of Implied Volatilities

In an incomplete information model, investors' uncertainty about the underlying drift rate of a rm's fundamentals a ects option prices through (i) endogenous and belief-dependent stochastic volatility, (ii) stochastic covariance between returns and volatility, and (iii) a market price of \belief risk." For the special case where the drift takes only two values, we provide an option pricing form...

Consumption and Portfolio Choice with Option-Implied State Prices

We propose an empirical implementation of the consumption-investment problem using the martingale representation alternative to dynamic programming. Our method is based on the direct observation of state prices from options data. This greatly simpli…es the investor’s task of specifying the investment opportunity set and inherits the computational convenience of the martingale representation. Ou...

Estimating Implied Probabilities from Option Prices and the Underlying

This paper examines a variety of methods for extracting implied probability distributions from option prices and the underlying. The paper first explores nonparametric procedures for reconstructing densities directly from options market data. I then consider local volatility functions, both through implied volatility trees and volatility interpolation. I then turn to alternative specifications ...

Determining and benchmarking risk neutral distributions implied from option prices

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از محوری ترین اثراتی که یک فیلم سینمایی ایجاد می کند دیالوگ هایی است که هنرپیش گان فیلم میگویند. به زعم یک فیلم ساز, یک شیوه متأثر نمودن مخاطب از اثر منظوره نیروی گفتارهای گوینده, مثل نیروی عاطفی, ترس آور, غم انگیز, هیجان انگیز و غیره, است. این مطالعه به بررسی این مسأله مبادرت کرده است که آیا نیروی فراگفتاری هنرپیش گان به مثابه ی اعمال گفتاری در پنج فیلم هالیوودی در نسخه های دوبله شده باز تولید...