Beyond implied volatility

Rama Cont

Beyond implied volatility

Condensed Matter 2007-05-23 v1

Authors: Rama Cont

Abstract

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.

Keywords

econophysics

Cite

@article{arxiv.cond-mat/9808262,
  title  = {Beyond implied volatility},
  author = {Rama Cont},
  journal= {arXiv preprint arXiv:cond-mat/9808262},
  year   = {2007}
}

Comments

26 pages, 2 postscript figures. Style file crckapb.sty included. Related papers available on http://www.eleves.ens.fr:8080/home/cont/papers.html ; To appear in: J. Kertesz & I. Kondor (Eds.): Econophysics: an emerging science, Dordrecht: Kluwer, 1998