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Title: Estimation of real-world market probabilities by the Ross recovery theorem
Authors: Liu, Bingyu
Keywords: Science::Mathematics::Applied mathematics::Simulation and modeling
Issue Date: 2022
Publisher: Nanyang Technological University
Source: Liu, B. (2022). Estimation of real-world market probabilities by the Ross recovery theorem. Final Year Project (FYP), Nanyang Technological University, Singapore.
Abstract: 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, some of which criticize its practicality. This thesis intends to build an algorithm based on the framework suggested by Jackwerth and Menner (2020) and explores its application on S&P 500 European call options. The results resembles what are presented in Jackwerth and Menner (2020).
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Student Reports (FYP/IA/PA/PI)

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