Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Thomas R. Bollinger, William R. Melick and Charles P. Thomas
| Year of publication: |
2023
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|---|---|
| Authors: | Bollinger, Thomas R. ; Melick, William Robert ; Thomas, Charles P. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 12, p. 1751-1768
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| Subject: | Option pricing | Put-call parity | Risk-neutral density | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution | Derivat | Derivative | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2272677 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014452468