Risk-adjusted option-implied moments

This paper provides a new way of converting risk-neutral moments into the corresponding physical moments, which are required for many applications. The main theoretical result is a new analytical representation of the expected payoffs of put and call options under the physical measure in terms of cu...

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Veröffentlicht in:	Review of derivatives research 2018-07, Vol.21 (2), p.149-173
Hauptverfasser:	Brinkmann, Felix, Korn, Olaf
Format:	Artikel
Sprache:	eng
Schlagworte:	Derivatives Economic models Economics and Finance Finance Investments Investments and Securities Put & call options Securities markets Securities prices Stock exchanges Stock market indexes
Online-Zugang:	Volltext
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