Beyond implied volatility

Details Beyond implied volatility Beyond implied volatility

1998-08-24

arxiv.org/abs/cond-mat/9808262v1

Physics

Condensed Matter

26 pages, 2 postscript figures. Style file crckapb.sty included. Related papers available on http://www.eleves.ens.fr:8080/h

Scientific paper

After a brief review of option pricing theory, we introduce various methods
proposed for extracting the statistical information implicit in options prices.
We discuss the advantages and drawbacks of each method, the interpretation of
their results in economic terms, their theoretical consequences and their
relevance for applications.

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