Recovering probability distributions from option prices
Recovering probability distributions from option prices
复制标题
DOI：
10.2307/2329531
复制
发表时间：
1996-12-01
影响因子：
8
通讯作者：
Rubinstein, M
中科院分区：
文献类型：
--
作者：
Jackwerth, JC;Rubinstein, M
本文推导了标普500指数欧洲期权的标的资产风险中性概率分布。非参数方法用于选择使目标函数最小化的概率，前提是要求概率与观察到的期权和标的资产价格一致。其他优化规范产生大致相同的隐含分布。提出了一种基于最大平滑度的概率分布估计的快速优化方法。自崩盘以来，该指数出现三（四）个标准差下降的风险中性概率（一年内约为- 36%(- 46%)）大约是对数正态性假设下的10（100）倍。
This article derives underlying asset risk-neutral probability distributions of European options on the S&P 500 index. Nonparametric methods are used to choose probabilities that minimize an objective function subject to requiring that the probabilities are consistent with observed option and underlying asset prices. Alternative optimization specifications produce approximately the same implied distributions. A new and fast optimization technique for estimating probability distributions based on maximizing the smoothness of the resulting distribution is proposed. Since the crash, the risk-neutral probability of a three (four) standard deviation decline in the index (about -36 percent (-46 percent) over a year) is about 10 (100) times more likely than under the assumption of lognormality.