-
Ait-Sahalia, Y., Wang, Y. and Yared, F. (
2001).
Do Option Markets correctly Price the Probabilities of Movement
of the Underlying Asset?, Journal of Econometrics 102: 67-110.
-
-
Barle, S. and Cakici, N., (1998).
-
How to Grow a Smiling Tree, The Journal of Financial Engineering
7: 127-146.
- Black, F. and Scholes,
M., (1998).
The Pricing of Options and Corporate Liabilities, Journal of Political Economy
81: 637-659.
-
-
- Blaskowitz, O. (2001).
Trading on Deviations of Implied and Historical Density, Diploma Thesis,
Humboldt-Universität zu Berlin.
- Breeden, D.
and Litzenberger, R., (1978).
- Prices of
State Contingent Claims Implicit in Option Prices,
Journal of Business, 9, 4: 621-651.
-
Cox, J., Ross, S. and Rubinstein, M. (
1979).
-
Option Pricing: A simplified Approach,
Journal of Financial Economics 7: 229-263.
-
Derman, E. and Kani, I. (1994).
-
The Volatility Smile and Its Implied Tree,
http://www.gs.com/qs/
- Dupire, B. (
1994).
-
Pricing with a Smile, Risk 7: 18-20.
- Florens-Zmirou, D.
(1993).
-
On Estimating the Diffusion Coefficient from Discrete
Observations, Journal of Applied Probability 30: 790-804.
- Franke, J., Härdle, W. and Hafner, C. (2001).
-
Einführung in die Statistik der Finanzmärkte, Springer Verlag,
Heidelberg.
- Härdle, W. and Simar, L.
(2002).
-
Applied Multivariate Statistical Analysis, Springer Verlag,
Heidelberg.
- Härdle, W. and Tsybakov, A.,
(1995).
-
Local Polynomial Estimators of the Volatility Function in
Nonparametric Autoregression, Sonderforschungsbereich 373
Discussion Paper, Humboldt-Universität zu Berlin.
- Härdle, W. and Yatchew, A.
(2001).
-
Dynamic Nonparametric State Price Density Estimation
using Constrained Least Squares and the Bootstrap,
Sonderforschungsbereich 373 Discussion Paper,
Humboldt-Universität zu Berlin.
- Härdle, W. and Zheng, J.
(2001).
-
How Precise Are Price Distributions Predicted by Implied
Binomial Trees?, Sonderforschungsbereich 373 Discussion Paper,
Humboldt-Universität zu Berlin.
- Jackwerth, J.C.
(1999).
-
Option Implied Risk Neutral Distributions and Implied Binomial
Trees: A Literatur Review, The Journal of Derivatives Winter: 66-82.
-
Kloeden, P., Platen, E. and Schurz, H. (
1994).
-
Numerical Solution of SDE Through Computer
Experiments, Springer Verlag, Heidelberg.
- Rubinstein, M.
(1994).
-
Implied Binomial Trees, Journal of Finance 49: 771-818.