Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
skewness
and time varying higher order moments of the risk neutral distribution. Parameter inference using
Gibbs sampling is … distribution of the underlying
asset and the distribution implied from option pricing. One difference is that the volatility
implied … arbitrarily well any kind of conditional distribution, for example highly skewed
and leptokurtic, and to allow for stochastic …