Where To Get State Price Probabilities?
Peter L. Bossaerts and
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Peter L. Bossaerts: California Institute of Technology, USA
Chapter 12 in Lectures on Corporate Finance, 2001, pp 106-114 from World Scientific Publishing Co. Pte. Ltd.
AbstractThe following sections are included:ImplementationGenerating the Possible Future StatesNow the State Price ProbabilitiesPricing Call Options: The MCI Example AgainThe Relationship Between State Price Probabilities and True ProbabilitiesProblems
Keywords: Asset Pricing; Corporate Finance; Capital Budgeting; Derivatives Analysis; Risk; Equity; Debt; Present Value (search for similar items in EconPapers)
JEL-codes: G30 (search for similar items in EconPapers)
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