Implied risk neutral densities from option prices : hypergeometric, spline, lognormal, and edgeworth functions
André Santos and João Guerra
| Year of publication: |
2015
|
|---|---|
| Authors: | Santos, André ; Guerra, João |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 35.2015, 7, p. 655-678
|
| Subject: | Mixture of Lognormal distributions | Smoothed Implied Volatility Smile | Density Functional Based on the Confluent Hypergeometric function | Edgeworth expansions | Optionsgeschäft | Option trading | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | US-Dollar | US dollar | Kaufkraftparität | Purchasing power parity | USA | United States | Brasilien | Brazil |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011405462