Martin, Ian (2018) Options and the Gamma Knife. Journal of Derivatives, 25 (4). pp. 71-79. ISSN 1074-1240
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Identification Number: 10.3905/jod.2018.25.4.071
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: | 20 Feb 2024 00:07 |
| URI: | http://eprints.lse.ac.uk/id/eprint/88076 |
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