Determining and benchmarking risk neutral distributions implied from option prices
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Publication:300172
DOI10.1016/j.amc.2015.02.011zbMath1338.91161OpenAlexW2043335167MaRDI QIDQ300172
Jacques Tempère, Oliver Salazar Celis, Damiaan Lemmens, Lingzhi Liang, Annie A. M. Cuyt
Publication date: 23 June 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/10067/1242930151162165141
option pricingbenchmarkingrational approximationsbid-ask intervalimplied probability density functionS\&P 500 index options
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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