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

• Main Author: Liu, Bingyu
• Other Authors: Nicolas Privault
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2022
• Subjects: Science::Mathematics::Applied mathematics::Simulation and modeling
• Online Access: https://hdl.handle.net/10356/156918
• Institution: Nanyang Technological University

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...