タイトル(掲載誌)法政大学イノベーション・マネジメント研究センター ワーキングペーパーシリーズ
一般注記type:Working Paper
This paper proposes a general method to recover the subjective probability distribution of nonlinear payoffs from option prices. We show that the characteristic function of the distribution can be represented as the present value of a static option portfolio with complex-valued portfolio weights. By applying Fourier inversion, we derive the subjective probability distribution from the characteristic function. As an illustration, we successfully recover the subjective probability distributions of option payoffs and agent's utility. This research contributes a valuable framework for understanding subjective probability distributions and their implications for financial analysis and decision-making.
一次資料へのリンクURLhttps://hosei.ecats-library.jp//da/repository/00030092/imWP_255_p1.pdf
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース(IRDB)(機関リポジトリ)