Do option markets correctly price the probabilities of movement of the underlying asset
By Yacine Aït-Sahalia, Yubo Wang, Francis Yared. 2001
259 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0242dcb6a98bfe978acfeba57f593f106a0a7ebb
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- A. Melé
- Pascal J. Maenhout
- Martijn Cremers
- F. Fornari
- Nikolaos Panigirtzoglou
- Joost Driessen
- Chi Seng Pun
- Hoi Ying Wong
In Finance
- Pascal J. Maenhout
- Martijn Cremers
- A. Melé
- Nikolaos Panigirtzoglou
- Rob Bliss
- F. Fornari
- Joost Driessen
- Alain Galli
Citations in the corpus
- Option-Implied Risk Aversion Estimates (2004, background): “Other studies such as Ait-Sahalia, Wang, and Yared (2001), and Rosenberg and Engle (2002) fit a stochastic process with parameters assumed to be constant over long periods; in other words, that the conditional densities are timeinvariant.”
- Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations (2001, methodology): “As recalled before, apart from the marginal density f(F ), one can obtain other information items from the simulation scheme based on system (5).”
- An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, unknown): “Ait-Sahalia et al. (2001) use option-based trading strategies to provide evidence for jump risk premia.”
- Tails, Fears and Risk Premia (2010, unknown): “Meanwhile, our non-parametric approach, which doesn’t restrict the shape and relation between the P and Q jumps, suggest that the large positive jumps do in fact carry a premia, albeit of a This is consistent with the aforemention earlier empirical evidence reported in Aı̈t-Sahalia et al. (2001); se”
- Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, background): “Next, we compare our jump parameter estimates with Aït-Sahalia, Wang, and Yared (2001).”
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions (2007, unknown): “…methods for estimating RNDs include: implied trees of Rubinstein (1994); kernel estimation methods of Ait-Sahalia and Lo (1998, 2000) and Ait-Sahalia et al. (2001); smoothing techniques of Shimko (1993), Malz (1997a,b), Campa et al. (1998) and Bliss and Panigirtzoglou (2002); maximum…”
- Filtering in Finance (2003, background): “19This idea is explored in [1] in a Non-parametric fashion.”