A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options

B-Tier

Journal: Journal of Banking & Finance

Year: 2004

Volume: 28

Issue: 7

Pages: 1499-1520

Authors (2)

Panigirtzoglou, Nikolaos (not in RePEc) Skiadopoulos, George (University of Piraeus)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count