Parametric Estimation of Risk Neutral Density Functions

Author:

Grith Maria,Krätschmer Volker

Publisher

Springer Berlin Heidelberg

Reference27 articles.

1. Andersen, L., & Andreasen, J. (2000). Jump-diffusion models: Volatility smile fitting and numerical methods for pricing. Review of Derivatives Research, 4(3), 231–262.

2. Bahra, B. (1997). Implied risk-neutral probability density functions from option prices. Working paper, Bank of England.

3. Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. Review of Financial Studies, 9(1), 69–107.

4. Biagini, S., & Cont, R. (2006). Model-free representation of pricing rules as conditional expectations. In J. Akahori, S. Ogawa, & S. Watanabe (Eds.), Proceedings of the 6th Ritsumeikan International Symposium – Stochastic Processes and Applications to Mathematical Finance (pp. 53–66). Singapore: World Scientific.

5. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–659.

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