Do option markets correctly price the probabilities of movement of the underlying asset? (Q5939359): Difference between revisions
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Revision as of 23:43, 4 March 2024
scientific article; zbMATH DE number 1625740
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Do option markets correctly price the probabilities of movement of the underlying asset? |
scientific article; zbMATH DE number 1625740 |
Statements
Do option markets correctly price the probabilities of movement of the underlying asset? (English)
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8 January 2002
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state-price densities
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risk-neutral densities
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density comparison
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arbitrage relationships
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Girasanov's theorem
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implied volatility smile
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jump risk
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Peso problem
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