and Uncertainty From Option Prices,”
by Nikhil Jaisinghani
dated February 2023
This paper proposes an option pricing model which
can estimate the market’s expected return
and the market’s uncertainty of this
return. Although acknowledging that
the approach is far from perfect, it offers
a compelling beginning in that it accounts
for a number of characteristics that are
known to be true, but that are ignored in
other pricing models.
Note: Full-text of this paper can be obtained by clicking
on the above title.
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