Inferring physical probability distributions from option prices
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Publisher
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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- Accountancy and Finance [254]