Option Prices and the Underlying Asset's Return Distribution
研究期权价格如何反映标的资产真实收益分布（非风险中性分布），并利用S&P 100指数期权价格对市场收益的均值和标准差进行估计。
ABSTRACT This work examines the relation between option prices and the true, as opposed to risk‐neutral, distribution of the underlying asset. If the underlying asset follows a diffusion with an instantaneous expected return at least as large as the instantaneous risk‐free rate, observed option prices can be used to place bounds on the moments of the true distribution. An illustration of the paper's results is provided by the analysis of the information concerning the mean and standard deviation of market returns contained in the prices of S&P 100 Index Options.