Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions

Author:

Lu Shan1ORCID

Affiliation:

1. School of ManagementUniversity of Bradford Bradford UK

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference54 articles.

1. DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION

2. Abken P. Madan D. &Ramamurtie S.(1996).Estimation of risk‐neutral and statistical densities by Hermite polynomial approximation. Working paper Federal Reserve Bank of Atlanta.

3. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

4. Anagnou I. Bedendo M. Hodges S. &Tompkins R.(2002).The relation between implied and realized probability density functions. Working paper University of Warwick.

5. Andersen A. &Wagener T.(2002).Extracting risk neutral probability densities by fitting implied volatility smiles: Some methodological points and an application to the 3m Euribor futures option prices. Working paper European Central Bank.

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