Extraction of Market Expectations from Option Prices

By Carlos Alberto Palomino Lazo

This book estimates risk neutral parameters of a jump diffusion model, as in Bates (1991), implicit in the option prices on the S&P500 futures over the period 2006-2008. Additionally, it investigates... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 3845422343
• ISBN13: 9783845422343
• Release Date: September 2011
• Publisher: LAP Lambert Academic Publishing
• Length: 96 Pages
• Weight: 0.33 lbs.
• Dimensions: 0.2" x 6.0" x 9.0"