Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; … - In: Review of Derivatives Research 27 (2023) 1, pp. 1-35
In order to estimate volatility-dependent probability weighting functions, we obtain risk neutral and physical densities from the Pan (J Financ Econ 63(1):3–50, 2002. https://doi.org/10.1016/S0304-405X(01)00088-5 ) stochastic volatility and jumps model. Across volatility levels, we find...
