Recovering probability distributions from option prices

Journal of Finance

Volumn 51, Issue 5, 1996, Pages 1611-1631

  Jackwerth, Jens Carsten ^a   Rubinstein, Mark ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038139238     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1996.tb05219.x     Document Type: Article

References (6)

1. Adams, Kenneth J., and Donald Van Deventer, 1994, Fitting yield curves and forward rate curves with maximum smoothness, Journal of Fixed Income 4, 52-62.
2. Breeden, Douglas, and Robert Litzenberger, 1978, Prices of state-contingent claims implicit in options prices, Journal of Business 51, 621-651.
3. Jackwerth, Jens Carsten, and Mark Rubinstein, 1995, Recovering probability distributions from contemporaneous security prices. Working paper, University of California at Berkeley.
4. Luenberger, David G., 1984, Linear and Nonlinear Programming, 2nd Ed. (Addison-Wesley).
5. Rubinstein, Mark, 1994, Implied binomial trees, Journal of Finance 49, 771-818.
6. Shimko, David, 1993, Bounds of probability, RISK 6, No. 4, 33-37.