Retrieving risk neutral moments and expected quadratic variation from option prices-Reference-Cited by-同舟云学术

Retrieving risk neutral moments and expected quadratic variation from option prices

Published:2016-05-06 Issue:4 Volume:48 Page:955-1002
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Rompolis Leonidas S.,Tzavalis Elias

Funder

Research Center of Athens University of Economics and Business

European Union (European Social Fund—ESF) and Greek national funds through the Operational Program “Education and Lifelong Learning” of the National Strategic Reference Framework (NSRF).

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-016-0575-z.pdf

Reference53 articles.

1. Ait-Sahalia Y, Duarte J (2003) Nonparametric option pricing under shape restrictions. J Econom 116:9–47

2. Ait-Sahalia Y, Jacod J (2012) Analyzing the spectrum of asset returns: jump and volatility components in high frequency data. J Econ Lit 50:1007–1050

3. Ait-Sahalia Y, Lo AW (1998) Nonparametric estimation of state-price densities implicit in financial asset prices. J Finance 53:499–548

4. Ang K-P, Rahman S, Tan K-H (2002) Option implied moments: an application to Nikkei 225 futures options. Rev Pac Basin Financ Mark Policies 5:301–320

5. Bakshi G, Cao C, Chen Z (1997) Empirical performance of alternative option pricing models. J Finance 52:2003–2049

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A general property for time aggregation;European Journal of Operational Research;2021-06

2. A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps;Frontiers in Applied Mathematics and Statistics;2021-01-25

3. A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models;SSRN Electronic Journal;2020

4. The Conditional Expected Market Return;SSRN Electronic Journal;2017