Dynamics of Implied Distributions: Evidence from the CAC 40 Options Market
Author:
Publisher
CAIRN
Subject
Marketing,Economics and Econometrics,Finance,Accounting
Reference20 articles.
1. Nonparametric risk management and implied risk aversion;Aı̈t-Sahalia Yacine;Journal of Econometrics
2. Implied Risk-neutral Probability Density Functions From Option Prices: Theory and Application;Bahra Bhupinder;SSRN Electronic Journal
3. The effect of macroeconomic news on beliefs and preferences: Evidence from the options market;Beber Alessandro;Journal of Monetary Economics
4. The Pricing of Options and Corporate Liabilities;Black Fischer;Journal of Political Economy
5. Option-Implied Risk Aversion Estimates;Bliss Robert R.;The Journal of Finance
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. Does fundamental value run asset price formation process? Evidence from option price information content;Journal of Asset Management;2016-11-08
2. On the liquidity of CAC 40 index options market;Journal of Derivatives & Hedge Funds;2014-08
3. On the Liquidity of CAC 40 Index Options Market;SSRN Electronic Journal;2013
4. Implied Distribution as a Function of the Volatility Smile;SSRN Electronic Journal;2011
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