Beyond implied volatility
凝聚态物理
2007-05-23 v1
摘要
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.
关键词
引用
@article{arxiv.cond-mat/9808262,
title = {Beyond implied volatility},
author = {Rama Cont},
journal= {arXiv preprint arXiv:cond-mat/9808262},
year = {2007}
}
备注
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