{"id":"https://openalex.org/W2165776944","doi":"https://doi.org/10.2139/ssrn.183705","title":"Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review","display_name":"Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review","publication_year":1999,"publication_date":"1999-01-01","ids":{"openalex":"https://openalex.org/W2165776944","doi":"https://doi.org/10.2139/ssrn.183705","mag":"2165776944"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.183705","doi":"https://doi.org/10.2139/ssrn.183705","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.183705","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.183705","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5080794957","display_name":"Jens Carsten Jackwerth","orcid":"https://orcid.org/0000-0002-7175-6871","observed_orcids":["https://orcid.org/0000-0002-7175-6871"]},"institutions":[{"id":"https://openalex.org/I189712700","display_name":"University of Konstanz","ror":"https://ror.org/0546hnb39","country_code":"DE","type":"education","lineage":["https://openalex.org/I189712700"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Jens Carsten Jackwerth","raw_affiliation_strings":["University of Konstanz - Department of Economics, Universitaetsstr. 10, Konstanz, 78457, Germany","University of Konstanz - Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Konstanz - Department of Economics, Universitaetsstr. 10, Konstanz, 78457, Germany","institution_ids":["https://openalex.org/I189712700"]},{"raw_affiliation_string":"University of Konstanz - Department of Economics","institution_ids":["https://openalex.org/I189712700"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5080794957"],"corresponding_institution_ids":["https://openalex.org/I189712700"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":78,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/option-pricing-models","display_name":"option pricing models","score":0.7879999876022339},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.7089999914169312},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.9200000166893005},{"id":"https://openalex.org/keywords/non-parametric-methods","display_name":"non-parametric methods","score":0.8370000123977661},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.6570000052452087}],"concepts":[{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.6237050294876099},{"id":"https://openalex.org/C2780910948","wikidata":"https://www.wikidata.org/wiki/Q2154775","display_name":"Risk neutral","level":2,"score":0.567517876625061},{"id":"https://openalex.org/C2781315470","wikidata":"https://www.wikidata.org/wiki/Q193623","display_name":"Binomial (polynomial)","level":2,"score":0.5340093374252319},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.526372492313385},{"id":"https://openalex.org/C166827900","wikidata":"https://www.wikidata.org/wiki/Q7843049","display_name":"Trinomial tree","level":4,"score":0.4492250978946686},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4167092442512512},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3560173511505127},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.3438480794429779},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.30103790760040283}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.183705","doi":"https://doi.org/10.2139/ssrn.183705","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.183705","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.183705","doi":"https://doi.org/10.2139/ssrn.183705","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.183705","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":93,"referenced_works":["https://openalex.org/W33494981","https://openalex.org/W40413847","https://openalex.org/W171567785","https://openalex.org/W172584915","https://openalex.org/W203254974","https://openalex.org/W1490197956","https://openalex.org/W1502303975","https://openalex.org/W1512167329","https://openalex.org/W1527969699","https://openalex.org/W1558097461","https://openalex.org/W1561261962","https://openalex.org/W1562173484","https://openalex.org/W1563248516","https://openalex.org/W1569310721","https://openalex.org/W1579192640","https://openalex.org/W1584066068","https://openalex.org/W1599154065","https://openalex.org/W1778683340","https://openalex.org/W1781853983","https://openalex.org/W1796787648","https://openalex.org/W1863872995","https://openalex.org/W1973983622","https://openalex.org/W1978032414","https://openalex.org/W1981058908","https://openalex.org/W1989892105","https://openalex.org/W1993301979","https://openalex.org/W1993326188","https://openalex.org/W1993875222","https://openalex.org/W2002535284","https://openalex.org/W2003309715","https://openalex.org/W2004360755","https://openalex.org/W2011881037","https://openalex.org/W2012472152","https://openalex.org/W2013755305","https://openalex.org/W2016012896","https://openalex.org/W2026454108","https://openalex.org/W2027318084","https://openalex.org/W2030441952","https://openalex.org/W2036294594","https://openalex.org/W2036636216","https://openalex.org/W2042023279","https://openalex.org/W2047003682","https://openalex.org/W2059552362","https://openalex.org/W2059862231","https://openalex.org/W2067367544","https://openalex.org/W2077791698","https://openalex.org/W2080852372","https://openalex.org/W2084239156","https://openalex.org/W2084931349","https://openalex.org/W2088686399","https://openalex.org/W2101849705","https://openalex.org/W2106154424","https://openalex.org/W2106271302","https://openalex.org/W2106875231","https://openalex.org/W2114332889","https://openalex.org/W2117091654","https://openalex.org/W2117101638","https://openalex.org/W2129220488","https://openalex.org/W2131070718","https://openalex.org/W2135190204","https://openalex.org/W2138980667","https://openalex.org/W2140911506","https://openalex.org/W2141695136","https://openalex.org/W2143551682","https://openalex.org/W2146612430","https://openalex.org/W2146848558","https://openalex.org/W2147876718","https://openalex.org/W2148905674","https://openalex.org/W2158580072","https://openalex.org/W2166898606","https://openalex.org/W2169192943","https://openalex.org/W2170444200","https://openalex.org/W2179356764","https://openalex.org/W2236342561","https://openalex.org/W2262891861","https://openalex.org/W2756092069","https://openalex.org/W3022492005","https://openalex.org/W3121458946","https://openalex.org/W3121661474","https://openalex.org/W3122099208","https://openalex.org/W3122431355","https://openalex.org/W3122467650","https://openalex.org/W3122955062","https://openalex.org/W3123247178","https://openalex.org/W3124436545","https://openalex.org/W3124475197","https://openalex.org/W3125082238","https://openalex.org/W3125742042","https://openalex.org/W3125793402","https://openalex.org/W3143267282","https://openalex.org/W4234776645","https://openalex.org/W4285719527","https://openalex.org/W7017725309"],"related_works":["https://openalex.org/W7096450770","https://openalex.org/W7097405766","https://openalex.org/W3125912290","https://openalex.org/W4239096213","https://openalex.org/W2106154424","https://openalex.org/W2002535284","https://openalex.org/W2490268088","https://openalex.org/W3123220021","https://openalex.org/W2079760219","https://openalex.org/W7099859820"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":6}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}