HULT, HENRIK; LINDSKOG, FILIP; NYKVIST, JOHAN - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350048-1
In this paper, a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with empirical findings from option price data. The model is...