PT  - JOURNAL ARTICLE
AU  - Ian Martin
TI  - Options and the Gamma Knife
AID  - 10.3905/jpm.2018.44.6.047
DP  - 2018 Jun 30
TA  - The Journal of Portfolio Management
PG  - 47--55
VI  - 44
IP  - 6
4099  - https://pm-research.com/content/44/6/47.short
4100  - https://pm-research.com/content/44/6/47.full
AB  - The author, a co-author of Stephen A. Ross, surveys the work of Ross, and of Douglas Breeden and Robert Litzenberger, that first showed how to use options to synthesize more complex securities. Their results made it possible to infer the risk-neutral measure associated with a traded asset and underpinned the development of the VIX index. Ross’s other main result, which shows how to infer joint risk-neutral distributions from option prices, has been much less influential. The author explains why and proposes an alternative approach to the problem.TOPIC: Options