Recovering probabilistic information from option markets: Tests of distributional assumptions

Option-Implied Risk-Neutral Distributions and Implied Binomial Trees

“…Johnson [1949] proposes translating normal distributions through logarithmic and hyperbolic sine transformations while adding two additional parameters. Sherrick, Garcia, and Tirupattur [1995] use the Burr III distribution on a data set of options on soybean futures. Sherrick, Irwin, andForster [1992 and use the Burr XII distribution on S&P 500 futures options.…”

The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index

“…Chiarell [17] used the work of Fourier-Hermite to assess the EU and US share options. Bahra [18] and Sherrick et al [19] introduced a nonparametric method to evaluate European options. These authors presented the risk neutral density as a linear combination of log-normal densities.…”

A characterization of the Burr Type III and Type XII distributions through the method of percentiles and the Spearman correlation

“…These distributions have been used primarily for statistical modeling of events arising in a variety of applied mathematical contexts. Some examples of such applications include modeling events associated with forestry (Gove et al, 2008;Lindsay et al, 1996), fracture roughness (Nadarajah and Kotz, 2006Kotz, , 2007, life testing (Wingo, 1983(Wingo, , 1993, operational risk (Chernobai et al, 2007), option market price distributions (Sherrick et al, 1996), meteorology (Mielke, 1973), modeling crop prices (Tejeda and Goodwin, 2008), software reliability growth (Abdel-Ghaly et al, 1997), reliability analysis (Mokhlis, 2005), and in the context of Monte Carlo simulation studies Pant and Headrick, 2013).…”