Duca, Ioana Andreea; Ruxanda, Gheorghe - In: Journal for Economic Forecasting (2013) 2, pp. 101-114
Option-implied risk-neutral densities incorporate market expectations with respect to the future course of option underlyings. Under the risk neutrality assumption various methods have been developed. In this paper, we look into two of them: parametric mixture of lognormals method and...