How Useful Are Implied Distributions? Evidence from Stock Index Options

By C. Peake. 2000

54 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, background): “tion Pricing, Principal Components Analysis, Value-at-Risk.”
The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing (2011, unknown): “2 As noted by Jackwerth and Rubinstein (1996) in a lognormal model of assets prices, the probability of a stock market crash with some 28% loss of equity values is 10, an event which is unlikely to happen even in the life time of the universe.”
Testing the Stability of Implied Probability Density Functions (2002, methodology): “For instance, H€ ordahl (1999) applied the Longstaff–Schwartz model to Swedish interest rates.”
Pricing options using implied trees: Evidence from FTSE‐100 options (2002, background): “Another recent study on FTSE-100 index option is done by Gemmill and Saflekos (2000)[15].”