Barone-Adesi, Giovanni; Dallo, Hakim - National Centre of Competence in Research - Financial … - 2010
We provide a new method to derive the state price density per unit probabilitybased on option prices and GARCH model. We derive the risk neutraldistribution using the result in Breeden and Litzenberger (1978) and thehistorical density adapting the GARCH model of Barone-Adesi, Engle, andMancini...
