Options and the Gamma Knife

Martin, Ian ORCID: 0000-0001-8373-5317 (2018) Options and the Gamma Knife. Journal of Derivatives, 25 (4). pp. 71-79. ISSN 1074-1240

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Abstract

I survey work of Steve Ross (1976) and of Douglas Breeden and Robert Litzenberger (1978) that first showed how to use options to synthesize more complex securities. Their results made it possible to infer the risk-neutral measure associated with a traded asset, and underpinned the development of the VIX index. The other main result of Ross (1976), which shows how to infer joint risk-neutral distributions from option prices, has been much less influential. I explain why, and propose an alternative approach to the problem.

Item Type:	Article
Official URL:	http://jod.iijournals.com/
Additional Information:	© 2018 Pageant Media Ltd
Divisions:	Finance
Subjects:	H Social Sciences > HG Finance
Date Deposited:	25 May 2018 14:18
Last Modified:	11 Dec 2024 21:38
URI:	http://eprints.lse.ac.uk/id/eprint/88076

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