Beyond implied volatility
arXiv:cond-mat/9808262
Abstract
After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantages and drawbacks of each method, the interpretation of their results in economic terms, their theoretical consequences and their relevance for applications.
26 pages, 2 postscript figures. Style file crckapb.sty included. Related papers available on http://www.eleves.ens.fr:8080/home/cont/papers.html ; To appear in: J. Kertesz & I. Kondor (Eds.): Econophysics: an emerging science, Dordrecht: Kluwer, 1998