Pricing options using implied trees: Evidence from FTSE‐100 options

By Kian Guan Lim, Da Zhi. 2002

53 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/977c8ad7213615a81e6e5d836051df00bcbb6551

Citations in the corpus

• Option-Implied Risk-Neutral Distributions and Risk Aversion (2004, unknown): “The next attempt to derive a histogram of risk-neutral probabilities from option prices was made by Longstaff (1990), who distributed the risk-neutral probability uniformly between any two adjacent strike prices.”