Estimating risk-neutral density with parametric models in interest rate markets

DOI10.1080/14697680802272045zbMath1171.91328OpenAlexW2022070420MaRDI QIDQ3182649

George Albota, Frank J. Fabozzi, Radu S. Tunaru

Publication date: 12 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802272045

zbMATH Keywords

generalized gamma distributionrisk-neutral densitygeneralized beta distributioncaps and floorspower utility functionBurr3 distributionreal-world density

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

• A generalization of the beta distribution with applications
• Nonparametric option pricing under shape restrictions
• Estimation of risk-neutral densities using positive convolution approximation
• Nonparametric risk management and implied risk aversion
• Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia*