Option pricing: Real and risk-neutral distributions

George Constantinides, Jens Carsten Jackwerth and Stylianos Perrakis ()

No 05/06, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Keywords: Derivative pricing; risk-neutral distribution; incomplete markets; stochastic dominance bounds; transaction costs; index options; volatility smile (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/32182/1/504463586.pdf (application/pdf)

Related works:
Working Paper: Option Pricing: Real and Risk-Neutral Distributions (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:cofedp:0506

Access Statistics for this paper

More papers in CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().