Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
Year of publication: |
2003
|
---|---|
Authors: | Brunner, Bernhard ; Hafner, Reinhold |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 7.2003, 1, p. 75-106
|
Subject: | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Optionsgeschäft | Option trading |
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