Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
https://link.springer.com/content/pdf/10.1007/s40314-023-02395-7.pdf
Reference33 articles.
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3. Aparicio S, Hodges S (1998) Implied risk-neutral distribution: a comparison of estimation methods. FORC preprint. University of Warwick, Coventry
4. Bǎnescu M, Popa D (2018) A multiple Abel summation formula and asymptotic evaluations for multiple sums. Int J Number Theory 14(04):1197–1210. https://doi.org/10.1142/s1793042118500732
5. Bates DS (1991) The crash of ’87: was it expected? the evidence from options markets. J Finance 46(3):1009–1044. https://doi.org/10.1111/j.1540-6261.1991.tb03775.x
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