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Implied Probability Distributions: Empirical Analysis

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  • Jens Carsten Jackwerth and Mark Rubinstein.

Abstract

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Suggested Citation

  • Jens Carsten Jackwerth and Mark Rubinstein., 1995. "Implied Probability Distributions: Empirical Analysis," Research Program in Finance Working Papers RPF-250, University of California at Berkeley.
    • Handle: RePEc:ucb:calbrf:rpf-250
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    Cited by:

    1. Roy Stein & Yoel Hecht, 2003. "Distribution of the Exchange Rate Implicit in Option Prices: Application to TASE," Bank of Israel Working Papers 2003.05b, Bank of Israel.
    2. Jondeau, Eric & Rockinger, Michael, 2000. "Reading the smile: the message conveyed by methods which infer risk neutral densities," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 885-915, December.
    3. Christodoulakis, George A. & Satchell, Stephen E., 1999. "The simulation of option prices with application to LIFFE options on futures," European Journal of Operational Research, Elsevier, vol. 114(2), pages 249-262, April.
    4. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
    5. Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
    6. Carolyn W. Chang & Jack S. K. Chang & Yisong Sam Tian, 2006. "Subordinated Binomial Option Pricing," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(4), pages 559-573, December.

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