## Abstract This paper presents a simple empirical approach to modeling and forecasting market option prices using localized option regressions (LOR). LOR projects market option prices over localized regions of their state space and is robust to assumptions regarding the underlying asset dynamics (
Measuring expectations in options markets: an application to the S&P500 index
✍ Scribed by Rodríguez, Abel; Horst, Enrique ter
- Book ID
- 126930379
- Publisher
- Taylor and Francis Group
- Year
- 2011
- Tongue
- English
- Weight
- 441 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1469-7688
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