Option Pricing: Real and Risk-Neutral Distributions

Jens Jackwerth (), George M. Constantinaides () and Stylianos Perrakis ()
Additional contact information
George M. Constantinaides: University of Chicago and NBER
Stylianos Perrakis: Concordia University
Authors registered in the RePEc Author Service: George M. Constantinides ()

No 05-06, CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz

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)
New Economics Papers: this item is included in nep-cfn and nep-fmk
Date: 2005-09-16
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