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Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees

https://doi.org/10.1057/9780230295209_2
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s10108-008-9049-3openalex-snapshot
Option-implied preferences adjustments, density forecasts, and the equity risk premium
inferredcites →https://doi.org/10.1016/0304-405x(76)90023-4openalex-snapshot
The valuation of options for alternative stochastic processes
inferredcites →https://doi.org/10.1016/0304-405x(79)90015-1openalex-snapshot
Option pricing: A simplified approach
inferredcites →https://doi.org/10.1016/s0304-4076(99)00016-0openalex-snapshot
Nonparametric risk management and implied risk aversion
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/296025openalex-snapshot
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1093/rfs/13.2.433openalex-snapshot
Recovering Risk Aversion from Option Prices and Realized Returns
inferredcites →https://doi.org/10.1093/rfs/hhl023openalex-snapshot
Why Does Implied Risk Aversion Smile?
inferredcites →https://doi.org/10.1111/0022-1082.215228openalex-snapshot
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
inferredcites →https://doi.org/10.1111/j.0008-4085.2005.00266.xopenalex-snapshot
Viewpoint: Option prices, preferences, and state variables
inferredcites →https://doi.org/10.1111/j.1540-6261.1974.tb03073.xopenalex-snapshot
CAPITAL BUDGETING OF RISKY PROJECTS WITH “IMPERFECT” MARKETS FOR PHYSICAL CAPITAL
inferredcites →https://doi.org/10.1111/j.1540-6261.1978.tb04870.xopenalex-snapshot
MARKET RISK ADJUSTMENT IN PROJECT VALUATION
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb02190.xopenalex-snapshot
Who Should Buy Portfolio Insurance?
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb04962.xopenalex-snapshot
A Simple Econometric Approach for Utility-Based Asset Pricing Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03775.xopenalex-snapshot
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb00079.xopenalex-snapshot
Implied Binomial Trees
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05219.xopenalex-snapshot
Recovering Probability Distributions from Option Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05220.xopenalex-snapshot
A Simple Nonparametric Approach to Derivative Security Valuation
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00637.xopenalex-snapshot
Option‐Implied Risk Aversion Estimates
inferredcites →https://doi.org/10.1111/j.1745-6622.2001.tb00333.xopenalex-snapshot
VALUING REAL OPTIONS: CAN RISK‐ADJUSTED DISCOUNTING BE MADE TO WORK?
inferredcites →https://doi.org/10.1111/j.1745-6622.2003.tb00524.xopenalex-snapshot
GLOBAL EVIDENCE ON THE EQUITY RISK PREMIUM
inferredcites →https://doi.org/10.2139/ssrn.240554openalex-snapshot
Option Pricing in the Real World: A Generalized Binomial Model with Applications to Real Options
inferredcites →https://doi.org/10.2139/ssrn.644081openalex-snapshot
Real Option Valuation Using NPV
inferredcites →https://doi.org/10.2139/ssrn.927440openalex-snapshot
Option Implied Risk Aversion and Elasticity of Intertemporal Substitution
inferredcites →https://doi.org/10.2139/ssrn.960982openalex-snapshot
Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework
inferredcites →https://doi.org/10.2307/2328335openalex-snapshot
Theory of Financial Decision Making.
inferredcites →https://doi.org/10.2469/faj.v60.n6.1909openalex-snapshot
Using the WACC to Value Real Options
inferredcites →https://doi.org/10.2470/rf.v2004.n1.3925openalex-snapshot
Option-Implied Risk-Neutral Distributions and Risk Aversion
inferredcites →https://doi.org/10.3386/w6130openalex-snapshot
Nonparametric Risk Management and Implied Risk Aversion
inferredcites →https://doi.org/10.3905/jod.1997.407989openalex-snapshot
Generalized Binomial Trees
inferredcites →https://doi.org/10.3905/jod.1999.319143openalex-snapshot
Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1026133openalex-extracted
A Simple Pragmatic Justification for Risk-Neutral Option Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.1412948openalex-extracted
Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees: Additional Theory and Extensions
inferred← citeshttps://doi.org/10.2139/ssrn.749904openalex-extracted
Implementing Risk-Averse Implied Binomial Trees: Additional Theory, Empirics, and Extensions
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