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

Derivation of discrete analog of Breeden–Litzenberger relation for risk-neutral density

Kumar, Abhimanyu - In: International journal of financial engineering 12 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10015550169

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

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

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