Inferring physical probability distributions from option prices

Working paper

Tom Arnold, Timothy Crack and Adam Schwartz

22/06/2005

Handle:

https://hdl.handle.net/10523/1559

Abstract

binomial option pricing

implied binomial trees

physical probabilities

risk-neutral probabilities

calibration

HG Finance

url

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Record Identifier: 9926478603201891
Title: Inferring physical probability distributions from option prices
Creators: Tom Arnold
Timothy Crack
Adam Schwartz
Academic Unit: Accountancy and Finance
Publisher: University of Otago
Date published ; e-published: 22/06/2005
Comment: This item is not available in full-text via OUR Archive. Where available, a link to the published version is provided (check the DOI and/or the Files and links section). The full-text item may be open access on the publisher's website. Alternatively, readers may have subscription access to the full-text from the publisher. A link to a legal, open access version may be available - check the Abstract for this information.
Resource Type: Working paper