Estimation of real-world market probabilities by the Ross recovery theorem
Ross (2015) developed a recovery theorem with the aim to recover the physical probability distribution merely based on the option prices and discover the forward-looking content from the recovery. There have been studies that intensively discuss the possible extensions and robustness of this theorem...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2022
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| Online Access: | https://hdl.handle.net/10356/156918 |
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| Institution: | Nanyang Technological University |
| Language: | English |