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  • Search: subject:"Risk Neutral Density"
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Year of publication
Subject
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Optionspreistheorie 58 Option pricing theory 54 Statistische Verteilung 46 Statistical distribution 41 Risk-neutral density 35 risk-neutral density 28 Option trading 24 Optionsgeschäft 24 risk neutral density 24 Volatilität 22 Volatility 21 Risiko 20 Schätzung 20 Risk 19 Risk neutral density 18 Estimation 16 Stochastic process 12 Stochastischer Prozess 12 Black-Scholes model 11 Black-Scholes-Modell 11 Schätztheorie 11 Börsenkurs 10 Nichtparametrisches Verfahren 10 Prognoseverfahren 10 Risikoneutralität 10 Risk Neutral Density 10 Estimation theory 9 Option pricing 9 Risikoaversion 9 Theorie 9 Share price 8 option pricing 8 Aktienoption 7 Derivat 7 Derivative 7 Deutschland 7 Event study 7 Forecasting model 7 Geldpolitik 7 Monetary policy 7
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Online availability
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Free 68 Undetermined 44 CC license 1
Type of publication
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Article 69 Book / Working Paper 62 Other 2
Type of publication (narrower categories)
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Article in journal 47 Aufsatz in Zeitschrift 47 Working Paper 28 Graue Literatur 12 Non-commercial literature 12 Arbeitspapier 11 Article 3 Aufsatz im Buch 2 Book section 2 research-article 1
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Language
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English 97 Undetermined 34 German 2 Turkish 1
Author
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Vilsmeier, Johannes 11 Härdle, Wolfgang Karl 6 Bondarenko, Oleg 5 Glatzer, Ernst 5 Grith, Maria 5 Krätschmer, Volker 5 Scheicher, Martin 5 Serrano, Pedro 5 Vaello-Sebastià, Antoni 5 Drimus, Gabriel 4 Matros, Philipp 4 Audrino, Francesco 3 Craig, Ben R. 3 Değerli, Ahmet 3 Farkas, Walter 3 Fendoğlu, Salih 3 Giacomini, Enzo 3 Huitema, Robert 3 Härdle, Wolfgang 3 Keller, Joachim 3 Leccadito, Arturo 3 Ludwig, Markus 3 Marins, Jaqueline Terra Moura 3 Necula, Ciprian 3 Oosterlee, Cornelis Willebrordus 3 Ornelas, José Renato Haas 3 Vicente, José Valentim Machado 3 Alonso Álvarez, Irma 2 Alonso, Irma 2 Barletta, Andre 2 Birru, Justin 2 Coutant, Sophie 2 Csávás, Csaba 2 Cuaresma, Jesús Crespo 2 Fabozzi, Frank J. 2 Figlewski, Stephen 2 Giacomini, Raffaella 2 Gottschling, Andreas 2 Haefke, Christian 2 Jondeau, E. 2
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 4 Deutsche Bundesbank 3 Université Paris-Dauphine (Paris IX) 3 Banque de France 2 C.E.P.R. Discussion Papers 2 Henley Business School, University of Reading 2 Türkiye Cumhuriyet Merkez Bankası 2 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 2 Banca d'Italia 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 European Central Bank 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 International Association of Agricultural Economists - IAAE 1 Magyar Nemzeti Bank (MNB) 1 Regional and International Economic Development Group, Management School 1 School of Economics and Management, University of Aarhus 1 School of Economics and Political Science, Universität St. Gallen 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Wirtschaftswissenschaftliche Fakultät, Universität Regensburg 1
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Published in...
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SFB 649 Discussion Paper 5 SFB 649 Discussion Papers 4 Economics Papers from University Paris Dauphine 3 Review of derivatives research 3 BGPE Discussion Paper 2 Bundesbank Discussion Paper 2 CEPR Discussion Papers 2 Discussion Papers / Deutsche Bundesbank 2 Finance research letters 2 ICMA Centre Discussion Papers in Finance 2 Journal of Economic Dynamics and Control 2 Journal of econometrics 2 Journal of economic dynamics & control 2 MNB Working Papers 2 Quantitative finance 2 Research paper series / Swiss Finance Institute 2 Risks 2 Risks : open access journal 2 Série de trabalhos para discussão 2 The North American journal of economics and finance : a journal of financial economics studies 2 Working Paper 2 Working Papers / Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 2 Working paper / Türkiye Cumhuriyet Merkez Bankası 2 Working papers / Banque de France 2 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 1 AStA Advances in Statistical Analysis 1 Annals of Financial Economics (AFE) 1 Annals of financial economics 1 Applied economics 1 Applied mathematical finance 1 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 1 CREATES Research Papers 1 Computational economics 1 Danmarks Nationalbank Working Papers 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion Paper Series 1 1 Discussion Paper Series 1: Economic Studies 1 Discussion paper 1 Discussion paper / Deutsche Bundesbank 1 Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics 1
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Source
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ECONIS (ZBW) 61 RePEc 49 EconStor 20 BASE 2 Other ZBW resources 1
Showing 1 - 10 of 133
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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
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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
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Natural cubic spline approximation of risk-neutral density
Zhou, Shuang; Jiang, Liyuan; Li, Keren; Wang, Fangfang; … - 2024
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
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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
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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
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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
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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
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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
Persistent link: https://www.econbiz.de/10014315199
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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
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Option-implied information: What’s the vol surface got to do with it?
Ulrich, Maxim; Walther, Simon - In: Review of Derivatives Research 23 (2020) 3, pp. 323-355
We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are economically surprisingly large and lead to...
Persistent link: https://www.econbiz.de/10014504298
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