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

Journal of Econometrics - Tập 102 - Trang 67-110 - 2001
Yacine Aı̈t-Sahalia1, Yubo Wang2, Francis Yared3
1Department of Economics, Princeton University, Princeton, NJ 08544-1021, USA
2Fixed Income Research, J.P. Morgan Securities Inc., New York, NY 10017, USA
3Lehman Brothers International (Europe), London EC 2M7HA, UK

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