Search Results - subject:"Risk Neutral Density"

Natural cubic spline approximation of risk-neutral density

Zhou, Shuang; Jiang, Liyuan; Li, Keren; Wang, Fangfang; … - In: International Journal of Financial Studies : open … 12 (2024) 4, pp. 1-31

The risk-neutral density is a fundamental concept in pricing financial derivatives, risk management, and assessing … method for estimating the risk-neutral density using natural cubic splines (NCS). The estimated density is twice continuously …

Persistent link: https://www.econbiz.de/10015337749

International evidence of the forecasting ability of option-implied distributions

Serrano, Pedro; Vaello-Sebastià, Antoni; Vich … - In: Journal of forecasting 43 (2024) 5, pp. 1447-1464

Persistent link: https://www.econbiz.de/10015108397

Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures

Li, Yifan; Nolte, Ingmar; Manh Cuong Pham - In: Journal of econometrics 241 (2024) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10015075173

Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices

Bollinger, Thomas R.; Melick, William Robert; Thomas, … - In: Quantitative finance 23 (2023) 12, pp. 1751-1768

Persistent link: https://www.econbiz.de/10014452468

Extracting market views from derivative prices

Weisman, Andrew - In: Derivatives Applications in Asset Management : From …, (pp. 193-217). 2025

Persistent link: https://www.econbiz.de/10015434587

The global spillovers of unconventional monetary policies on tail risks

Alonso, Irma; Serrano, Pedro; Vaello-Sebastià, Antoni - In: Finance research letters 59 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014445403

The impact of heterogeneous unconventional monetary policies on the expectations of market crashes

Alonso, Irma; Serrano, Pedro; Vaello-Sebastià, Antoni - 2021

Persistent link: https://www.econbiz.de/10012793082

State price density estimation with an application to the recovery theorem

Sanford, Anthony - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 97-115

Persistent link: https://www.econbiz.de/10014288863

W-shaped implied volatility curves and the Gaussian mixture model

Glasserman, Paul; Pirjol, Dan - In: Quantitative finance 23 (2023) 4, pp. 557-577

Persistent link: https://www.econbiz.de/10014304265

Risk neutral density estimation with a functional linear model

Carrasco, Marine; Tsafack, Idriss - In: Essays in honor of Joon Y. Park : econometric …, (pp. 133-157). 2023

This chapter proposes a nonparametric estimator of the risk neutral density (RND) based on cross-sectional European …

Persistent link: https://www.econbiz.de/10014315199