Estimation of real-world market probabilities by the Ross recovery theorem

• 主要作者: Liu, Bingyu
• 其他作者: Nicolas Privault
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2022
• 主題: Science::Mathematics::Applied mathematics::Simulation and modeling
• 在線閱讀: https://hdl.handle.net/10356/156918

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...