Calibration of Johnson-SU Distribution of Future Price of Underlying Asset Based on Option Prices
Abstract
The study focuses on forecasting the underlying asset of options based on their market quotes. Market prices of options reflect the expectations of traders about future dynamics of the underlying asset. The paper considers how to transition from real option prices to a probability distribution of the future price of the underlying asset and provides statistical studies of the accuracy of the obtained distributions.
About the Authors
P. A. Arbuzov
Lomonosov Moscow State University
Russian Federation
Russian Federation
Peter A. Arbuzov
Leninskie Gory, 1, Moscow, 119991
D. Yu. Golembiovsky
Lomonosov Moscow State University
Russian Federation
Russian Federation
Dmitry Yu. Golembiovsky
Leninskie Gory, 1, Moscow, 119991
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Review
For citations:
Arbuzov P.A., Golembiovsky D.Yu. Calibration of Johnson-SU Distribution of Future Price of Underlying Asset Based on Option Prices. Issues of Risk Analysis. 2024;21(2):78-93. (In Russ.)
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