G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12883
DP12883 Options and the Gamma Knife
Ian Martin
发表日期2018-04-20
出版年2018
语种英语
摘要I survey work of Steve Ross (1976) and of Douglas Breeden and Robert Litzenberger (1978) that first showed how to use options to synthesize more complex securities. Their results made it possible to infer the risk-neutral measure associated with a traded asset, and underpinned the development of the VIX index. The other main result of Ross (1976), which shows how to infer joint risk-neutral distributions from option prices, has been much less influential. I explain why, and propose an alternative approach to the problem. This paper is dedicated to Steve Ross, and was written for a special issue of the Journal of Portfolio Management in memory of him.
主题Financial Economics
关键词Option prices Gamma knife Arrow-debreu securities Risk-neutral distribution Vix Svix Radon transform Derivatives
URLhttps://cepr.org/publications/dp12883
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/541694
推荐引用方式
GB/T 7714
Ian Martin. DP12883 Options and the Gamma Knife. 2018.
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