Measuring expectations in options markets: an application to the S&P500 index

DOI10.1080/14697680903193397zbMath1277.91145arXiv0901.0033OpenAlexW2248086764MaRDI QIDQ2866371

Abel Rodríguez, Enrique ter Horst

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.0033

zbMATH Keywords

European optionsnonparametric Bayesdependent Dirichlet processimplied prices

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)

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