| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12883 |
| 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 |
| URL | https://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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