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Prices for State-contingent Claims: Some Estimates and Applications
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Cited by:
- Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc.
- Audrino, Francesco & Huitema, Robert & Ludwig, Markus, 2014. "An Empirical Analysis of the Ross Recovery Theorem," Economics Working Paper Series 1411, University of St. Gallen, School of Economics and Political Science.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- Ait-Sahalia, Yacine & Duarte, Jefferson, 2003.
"Nonparametric option pricing under shape restrictions,"
Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
- Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc.
- Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2018. "Rearrangement algorithm and maximum entropy," Annals of Operations Research, Springer, vol. 261(1), pages 107-134, February.
- Gianluca Cassese, 2014.
"Option Pricing in an Imperfect World,"
Papers
1406.0412, arXiv.org, revised Sep 2016.
- Gianluca Cassese, 2014. "Option pricing in an imperfect world," Working Papers 277, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
- Gaia Barone, 2008. "Arbitrages and Arrow-Debreu Prices," Rivista di Politica Economica, SIPI Spa, vol. 98(6), pages 43-78, November-.
- Joseph K. Cheung & John Heaney, 1990. "A contingent†claim integration of cost†volume†profit analysis with capital budgeting," Contemporary Accounting Research, John Wiley & Sons, vol. 6(2), pages 738-760, March.
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
- Gianluca Cassese, 2019. "Nonparametric Estimates Of Option Prices And Related Quantities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-29, November.
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
- Jaqueline Terra Moura Marins & Gustavo Silva Araujo & José Valentim Machado Vicente, 2015. "As Atuações Cambiais do Banco Central Afetam as Expectativas de Mercado?," Working Papers Series 393, Central Bank of Brazil, Research Department.
- Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2021. "A model-free approach to multivariate option pricing," Review of Derivatives Research, Springer, vol. 24(2), pages 135-155, July.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
- Grith, Maria & Härdle, Wolfgang Karl & Kneip, Alois & Wagner, Heiko, 2016. "Functional principal component analysis for derivatives of multivariate curves," SFB 649 Discussion Papers 2016-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Merton, Robert C, 1998.
"Applications of Option-Pricing Theory: Twenty-Five Years Later,"
American Economic Review, American Economic Association, vol. 88(3), pages 323-349, June.
- Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee.
- Alexandre Baptista, 2000. "Options and Efficiency in Multiperiod Security Markets," Econometric Society World Congress 2000 Contributed Papers 0299, Econometric Society.
- Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Papers 0910.1430, arXiv.org.
- Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013.
"Forecasting with Option-Implied Information,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656,
Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
- Ait-Sahalia, Yacine & Lo, Andrew W., 2000.
"Nonparametric risk management and implied risk aversion,"
Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
- Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.
- Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
- Johannes Hendrik Venter & Pieter Juriaan de Jongh, 2024. "Trading Option Portfolios Using Expected Profit and Expected Loss Metrics," Risks, MDPI, vol. 12(8), pages 1-19, August.
- Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
- Arindam Kundu & Sumit Kumar & Nutan Kumar Tomar, 2019. "Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 705-728, August.
- Scholes, Myron S, 1998.
"Derivatives in a Dynamic Environment,"
American Economic Review, American Economic Association, vol. 88(3), pages 350-370, June.
- Scholes, Myron S., 1997. "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents 1997-2, Nobel Prize Committee.
- Michael O'Neill & Kent Wang & Zhangxin (Frank) Liu & Tom Smith, 2016. "A State-Price Volatility Index for China's Stock Market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 607-626, September.
- Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
- Yacine Aït‐Sahalia, 2002.
"Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion,"
Journal of Finance, American Finance Association, vol. 57(5), pages 2075-2112, October.
- Yacine Ait-Sahalia, 2001. "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers 8504, National Bureau of Economic Research, Inc.
- Vladislav Kargin, 2003.
"Consistent Estimation of Pricing Kernels from Noisy Price Data,"
Finance
0311001, University Library of Munich, Germany.
- Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Papers math/0310223, arXiv.org.
- Xixuan Han & Boyu Wei & Hailiang Yang, 2018. "Index Options And Volatility Derivatives In A Gaussian Random Field Risk-Neutral Density Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-41, June.
- Gianluca Cassese, 2017.
"Asset pricing in an imperfect world,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
- Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
- Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
- Dilip B. Madan & Frank Milne, 1994.
"Contingent Claims Valued And Hedged By Pricing And Investing In A Basis,"
Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
- Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Paper 1158, Economics Department, Queen's University.
- Li, Yifan & Nolte, Ingmar & Pham, Manh Cuong, 2024. "Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures," Journal of Econometrics, Elsevier, vol. 241(2).
- Gianluca Cassese, 2015.
"Non Parametric Estimates of Option Prices Using Superhedging,"
Papers
1502.03978, arXiv.org.
- Gianluca Cassese, 2015. "Nonparametric Estimates of Option Prices Using Superhedging," Working Papers 293, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
- Jackwerth, Jens Carsten, 2000.
"Recovering Risk Aversion from Option Prices and Realized Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 433-451.
- Jens Carsten Jackwerth., 1996. "Recovering Risk Aversion from Option Prices and Realized Returns," Research Program in Finance Working Papers RPF-265, University of California at Berkeley.
- Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, University Library of Munich, Germany.
- Wang, Zhi, 2000. "Production-based asset pricing: a cross-industry study," ISU General Staff Papers 2000010108000013294, Iowa State University, Department of Economics.
- Josip Arneric & Zdravka Aljinovic & Tea Poklepovic, 2015. "Extraction of market expectations from risk-neutral density," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 33(2), pages 235-256.
- Puhl, Martin & Savor, Pavel & Wilson, Mungo, 2024. "Uncertainty premia for small and large risks," Journal of Banking & Finance, Elsevier, vol. 167(C).
- Takkabutr, Nattapol, 2013. "Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 137-157, December.
- Hardeep Singh Mundi, 2023. "Risk neutral variances to compute expected returns using data from S&P BSE 100 firms—a replication study," Management Review Quarterly, Springer, vol. 73(1), pages 215-230, February.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Ding, Ashley, 2021. "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, vol. 104(C).
- Allan M. Malz, 2013. "Risk-neutral systemic risk indicators," Staff Reports 607, Federal Reserve Bank of New York.
- Allan M. Malz, 2014. "Simple and reliable way to compute option-based risk-neutral distributions," Staff Reports 677, Federal Reserve Bank of New York.
- Yoshino, Joe Akira, 2003.
"Market Risk and Volatility in the Brazilian Stock Market,"
Journal of Applied Economics, Universidad del CEMA, vol. 6(2), pages 1-19, November.
- Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
- Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Taylor & Francis Journals, vol. 6(2), pages 385-403, November.
- Yacine Aït-Sahalia & Andrew W. Lo, "undated".
"Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices,"
CRSP working papers
332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc.
- Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.
- Michael J O’Neill & Zhangxin (Frank) Liu, 2016. "Tail risk hedging for mutual funds using equity market state prices," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 687-698, November.
- Torben G. Andersen & Oleg Bondarenko, 2007.
"Construction and Interpretation of Model-Free Implied Volatility,"
CREATES Research Papers
2007-24, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers 13449, National Bureau of Economic Research, Inc.
- Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Bruce N. Lehmann, 2005. "Notes for a Contingent Claims Theory of Limit Order Markets," NBER Working Papers 11533, National Bureau of Economic Research, Inc.
- Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
- Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
- Gurupdesh Pandher, 2000. "Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices," Review of Derivatives Research, Springer, vol. 4(3), pages 263-284, October.
- A. Cherny, 2006. "Weighted V@R and its Properties," Finance and Stochastics, Springer, vol. 10(3), pages 367-393, September.
- Jackwerth, Jens Carsten, 1999. "Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review," MPRA Paper 11634, University Library of Munich, Germany.
- repec:hum:wpaper:sfb649dp2016-033 is not listed on IDEAS
- Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
- Michael J. O'Neill & Zhangxin Liu & Tom Smith, 2017. "Fund Volatility Index using equity market state prices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 837-853, September.
- Dijkstra, Theo K. & Yao, Yong, 2002. "Moment generating function approach to pricing interest rate and foreign exchange rate claims," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 163-178, October.
- Birke, Melanie & Pilz, Kay F., 2007. "Nonparametric option pricing with no-arbitrage constraints," Technical Reports 2007,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- M. Keith Chen & Jonathan E. Ingersoll, Jr. & Edward H. Kaplan, 2008. "Modeling a Presidential Prediction Market," Management Science, INFORMS, vol. 54(8), pages 1381-1394, August.
- Ana M. Monteiro & Antonio A. F. Santos, 2020. "Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints," Review of Derivatives Research, Springer, vol. 23(1), pages 41-61, April.
- Walter, György, 2002. "VaR-limitrendszer melletti hozammaximalizálás: a kaszinóhatás [Maximizing yield against a VaR limit system: the casino effect]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 212-234.
- Marco Avellaneda & Craig Friedman & Richard Holmes & Dominick Samperi, 1997. "Calibrating volatility surfaces via relative-entropy minimization," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(1), pages 37-64.
- Gergely Hudecz & Edmund Moshammer & Marco Onofri, 2024. "Option-implied bond spread risk," Working Papers 66, European Stability Mechanism, revised 25 Nov 2024.
- Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
- Li, Yong & Zhang, Mingzhi & Zhang, Yonghui, 2022. "Sequential Bayesian bandwidth selection for multivariate kernel regression with applications," Economic Modelling, Elsevier, vol. 112(C).
- Ashley Ding, 2019. "Information and volatility linkages across energy and financial markets," Australian Journal of Management, Australian School of Business, vol. 44(4), pages 594-613, November.
- Bruce Lehmann, 2008. "Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk," NBER Working Papers 13848, National Bureau of Economic Research, Inc.