Beyond implied volatility

Rama Cont (Swiss Federal Institute of Technology , Lausanne)

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classification ❄️ cond-mat

keywords advantagesapplicationsbeyondbriefconsequencesdiscussdrawbackseconomic

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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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Beyond implied volatility

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