Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

Using a utility function to adjust the risk‐neutral PDF embedded in cross sections of options,
we obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P …

This chapter surveys the methods available for extracting information from option prices that
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …

This paper examines the absolute and relative robustness of two of the most common
methods for estimating implied probability density functions (PDFs)–the double-lognormal …

The market's risk neutral probability distribution for the value of an asset on a future date can
be extracted from the prices of a set of options that mature on that date, but two key technical …

Analysts are accustomed to using prices for the information they contain. A stock price, for
example, can be thought of as an expected value of future cash flows. Each futures price …

We examine the risk neutral probability density (RND) for the S&P 500 extracted from real-
time bid and ask quotes for index options, under extreme market stress during the fall of …

We address the empirical implementation of the static asset allocation problem by
developing a forward-looking approach that uses information from market option prices. To …

Insurance premiums reflect expectations about the future losses of each insured. Given the
dearth of cyber security loss data, market premiums could shed light on the true magnitude …

Crisis events such as the 1987 stock market crash, the Asian Crisis and the bursting of the
Dot-Com bubble have radically changed the view that extreme events in financial markets …