Do option markets correctly price the probabilities of movement of the underlying asset? (Q5939359)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1625740
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
8 January 2002
0 references
state-price densities
0 references
risk-neutral densities
0 references
density comparison
0 references
arbitrage relationships
0 references
Girasanov's theorem
0 references
implied volatility smile
0 references
jump risk
0 references
Peso problem
0 references
0.7401984930038452
0 references
0.7391672730445862
0 references
0.733681321144104
0 references
0.7320295572280884
0 references
0.7287583351135254
0 references
