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Distribuzioni di probabilità implicite nei prezzi delle opzioni

Author

Listed:
  • Alessandro Beber
  • Luca Erzegovesi

    (DISA, Faculty of Economics, Trento University)

Abstract

Questo lavoro si propone di illustrare i presupposti teorici e le metodologie empiriche per l'estrazione della distribuzione di probabilità dell'attività finanziaria sottostante dai prezzi delle opzioni. In particolare si analizzano le anomalie nel pricing delle opzioni da parte del mercato rispetto ai modelli teorici, si descrivono le tecniche di estrazione della funzione di densità neutrale al rischio proposte dalla letteratura e si presentano alcune evidenze empiriche sui mercati azionario, dei cambi, dei tassi d'interesse, ottenute applicando alcune delle metodologie illustrate.

Suggested Citation

  • Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    • Handle: RePEc:trt:aleatr:008
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    References listed on IDEAS

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    Cited by:

    1. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic Learning in Co-ordination Games: a Simulation Approach," ROCK Working Papers 001, Department of Computer and Management Sciences, University of Trento, Italy, revised 21 May 1999.
    2. Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    3. Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    4. Flavio Bazzana & Francesca Debortoli, 2002. "Il rischio sistemico in finanza: una rassegna dei recenti contributi in letteratura," Alea Tech Reports 017, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.

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