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- W3149349232 abstract "This paper introduces a new technique to infer the risk-neutral probability distribution of an asset from the prices of options on this asset. The technique is based on using the trading volume of each option as a proxy of the informativeness of the option. Not requiring the implied probability distribution to recover exactly the market prices of the options allows us to weight each option by a function of its trading volume. As a result, we obtain implied probability distributions that are both smoother and should be more reflective of fundamentals." @default.
- W3149349232 created "2021-04-13" @default.
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- W3149349232 date "2001-01-01" @default.
- W3149349232 modified "2023-09-28" @default.
- W3149349232 title "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter" @default.
- W3149349232 hasPublicationYear "2001" @default.
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