Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Lina M. Cortés, Andrés Mora-Valencia, Javier Perote
| Year of publication: |
2020
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|---|---|
| Authors: | Cortés, Lina M. ; Mora-Valencia, Andrés ; Perote, Javier |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-15
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| Subject: | Option pricing | Oil prices | Risk neutral density | Semi-nonparametric approach | Optionspreistheorie | Option pricing theory | Ölpreis | Oil price | Statistische Verteilung | Statistical distribution | Risiko | Risk | Optionsgeschäft | Option trading | Risikoneutralität | Risk neutrality |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.10.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012666975