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Persistent link: https://www.econbiz.de/10014288863
I introduce a model to estimate the risk-neutral density. Current estimation techniques use a single mathematical model to interpolate option prices on two option dimensions: strike price and time-to maturity (TTM). I propose to use B-splines with at-the-money knots for the strike price...
Persistent link: https://www.econbiz.de/10012899974