A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions

This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style guidance through the estimation process. The technique is robust and avoids violations of option no-arbitrage restrictions that can lead to negative probabilities and other implausible results. I give examples for equities, foreign exchange, and long-term interest rates

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Year of publication:	2014
Authors:	Malz, Allan M.
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Statistische Verteilung \| Statistical distribution \| Optionsgeschäft \| Option trading \| Stochastischer Prozess \| Stochastic process \| Black-Scholes-Modell \| Black-Scholes model

Extent:	1 Online-Ressource (42 p)
Series:	FRB of New York Staff Report ; No. 677
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2014 erstellt
Other identifiers:	10.2139/ssrn.2449692 [DOI]
Classification:	G01 - Financial Crises ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting ; G18 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013052633