Inferring physical probability distributions from option prices

Schwartz, Adam; Arnold, Tom; Crack, Timothy

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Inferring physical probability distributions from option prices

Arnold, Tom; Crack, Timothy; Schwartz, Adam

Cite this item: Arnold, T., Crack, T., & Schwartz, A. (2005). Inferring physical probability distributions from option prices (Working Paper). University of Otago. Retrieved from http://hdl.handle.net/10523/1559

Permanent link to OUR Archive version: http://hdl.handle.net/10523/1559

Date: 2005-06-22

Publisher: University of Otago

Keywords: binomial option pricing; implied binomial trees; physical probabilities; risk-neutral probabilities; calibration

Research Type: Working Paper

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