Comparison of methods to estimate option implied risk-neutral densities

DOI10.1080/14697688.2011.606823zbMath1402.91794OpenAlexW2113416345MaRDI QIDQ5247238

Wan Ni Lai

Publication date: 23 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.606823

zbMATH Keywords

Monte Carlo methodsfinancial optionsapplied mathematical financerisk neutral distributions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonparametric estimation (62G05) Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Spline approximation (41A15)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Nonparametric risk management and implied risk aversion
• Asset Prices in an Exchange Economy
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Analysis of Financial Time Series

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