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arXiv.org e-Print Archive
Preprint . 1998
Data sources: arXiv.org e-Print Archive
https://dx.doi.org/10.48550/ar...
Article . 1998
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
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Beyond implied volatility

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 1998Embargo end date: 01 Jan 1998Publisher:arXiv
Authors: Cont, Rama;

doi: 10.48550/arxiv.cond-mat/9808262

arXiv: http://arxiv.org/abs/cond-mat/9808262

Beyond implied volatility

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

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Keywords

Condensed Matter (cond-mat), FOS: Physical sciences, Condensed Matter

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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