Do option markets correctly price the probabilities of movement of the underlying asset?

Journal of Econometrics

Volumn 102, Issue 1, 2001, Pages 67-110

  Aït Sahalia, Yacine ^a   Wang, Yubo ^b   Yared, Francis ^c  

^a PRINCETON UNIVERSITY   (United States)

^b JP Morgan Chase & Co   (United States)

^c Lehman Bros International (Europe)   (United Kingdom)

Author keywords

Arbitrage relationships; Density comparison; Girsanov's theorem; Implied volatility smile; Jump risk; Peso problem; Risk neutral densities; State price densities

Indexed keywords

EID: 18044400024     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(00)00091-9     Document Type: Article

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