KOSPI 200 지수의 상태 가격 밀도 비교 분석

참고문헌 (Reference)

1 "The Pricing of Options on Assets with Stochastic Volatility Journal of Finance" 281-300, 1987

2 "The Magnitude of Implied Volatility Smiles Theory and Empirical Evidence for Exchange Rates Review of Futures Markets" 355-380, 1994

3 "The Crash of '87 Was it Expected? The Evidence from Options Markets Journal of Finance" 1009-1044, d.1991

4 "Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices" 19 : 175-192, 1996

5 "Riding on a Smile" 32-39, 1994

6 "Recovering Probability Distributions from Contemporaneous Security Prices" 1996

7 "Rational Pricing of Option Pricing Bell Journal of Economics and Management Science" 141-183, 1973

8 "Probability Distributions and Hedge Ratios Implied by Option Prices University of Southern California." tility : 1991

9 "Pricing with a Smile" 18-2, 1994

10 "Prices of State-Contingent Claims Implicit in Option Prices Journal of Business" -651, 1978

11 "Prices for State-Contingent Claims Journal of Business" 653-672,

12 "Option Pricing when the Variance is Changing Journal of Financial and Quantitative Analysis" 143-151, 1987

13 "Option Pricing when the Variance Changes Randomly Estimation and an Application Journal of Financial and Quantitative Analysis" 419-438, 1987

14 "Option Pricing When Underlying Stock Returns Are Discontinuous Journal of Financial Economics" 125-44, 1976

15 "Option Implied Risk-Neutral Distribution and Implied Binomial Trees: A Literature Review" 1999

16 "On Estimating the Diffusion Coefficient From Discrete Observations Journal of Applied Probability" 790-804, 1993

17 "Of Smiles and Smirks: A Term-Structure Perspective" 34 (34): 211-239, 1999

18 "Numerical Solution of SDE Through Computer Experiments" Springer-Verlag. 1991

19 "Non-parametric Estimation of State Price Densities Implicit in Financial Asset Prices" 53 (53): 499-547, 1998

20 "Mathematical Statistics with Mathematica" 2002

21 "Martingale and Arbitrage in Multi-period Securities Markets Journal of Economic Theory" 381-408, 1979

22 "Journal of Finance" 771-818, 1994

23 "Implied Volatility Functions: Empirical Test" 53 : 2059-2106, 1998

24 "Implied Trinomial Trees of the Volatility Smile" 3 : 7-22, 1996

25 "How Useful are Implied Distributions? Evidence from Stock-Index Options" -17, 2000

26 "Generalized Bionmial Trees" 5 : 7-17, 1997

27 "Forward Induction and Construction of Yield Curve Diffusion Models Journal of Derivatives." f.1991

28 "Edgeworth Binomial Trees" (3) : 20-27, 1998

29 "Do Option Markets Correctly Assess the Probability of Movement of the Underlying Asset?" 102 : 67-110, 2001

30 "Bounds of Probability" 33-37, 1993

31 "Beyond Implied Volatility" 1997

32 "Approximate Option Valuation for Arbitrary Stochastic Processes Journal of Financial Economics" 347-369,

33 "A Simple Non-parametric Approach to Derivative Security Valuation" 101 (101): 1633-1652, 1996