Recovering probabilistic information from option markets: Tests of distributional assumptions

Journal of Futures Markets

Volumn 16, Issue 5, 1996, Pages 545-560

  Sherrick, Bruce J ^a   Garcia, Philip ^a   Tirupattur, Viswanath ^b  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b Quantit Res Analyst Lincoln IMI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030486273     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199608)16:5<545::aid-fut3>3.0.co;2-g     Document Type: Article

References (15)

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4. Fackler, P. L. (1986): "The Information Content of Option Premiums," unpublished Ph.D. Dissertation, University of Minnesota.
5. Fackler, P. L., and King, R. P. (1990): "Calibration of Option-Based Probability Assessments in Agricultural Commodity Markets," American Journal of Agricultural Economics, 72:73-83.
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12. Rubinstein, M. (1994): "Implied Binomial Trees," Journal of Finance, 64:771-818.
13. Sherrick, B. J., Irwin, S. H., and Forster, D. L. (1992): "Option-Based Evidence of the Nonstationarity of S&P 500 Futures Price Distributions, "The Journal of Futures Markets, 12:1-16.
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