Do option markets correctly price the probabilities of movement of the underlying asset?

A-Tier

Journal: Journal of Econometrics

Year: 2001

Volume: 102

Issue: 1

Pages: 67-110

Authors (3)

Ait-Sahalia, Yacine (Princeton University) Wang, Yubo (not in RePEc) Yared, Francis (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

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