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Abstract Details

Activity Number: 344
Type: Contributed
Date/Time: Tuesday, July 31, 2012 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #304921
Title: Nonparametric Estimation of Risk Neutral Distribution Implied by Options
Author(s): Kam Hamidieh*+
Companies: California State University Fullerton
Address: 1038 E Bastanchury Road, Fullerton, CA, 92835, United States
Keywords: S&P 500 ; Options ; Risk Neutral Distribution ; Risk Management

We introduce a fully non-parametric method to estimate the distribution of the S&P 500 Index as implied by traded options. A new "fear gauge" measure, based on our method, is introduced and applied to the SP500 options.

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