Determining and benchmarking risk neutral distributions implied from option prices (Q300172): Difference between revisions

@@ Property / author @@
-Annie A. M. Cuyt
@@ Property / author: Annie A. M. Cuyt / rank @@
-Normal rank
@@ Property / author @@
+Annie A. M. Cuyt
@@ Property / author: Annie A. M. Cuyt / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6597257
@@ Property / zbMATH DE Number: 6597257 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+implied probability density function
@@ Property / zbMATH Keywords: implied probability density function / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+benchmarking
@@ Property / zbMATH Keywords: benchmarking / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+S\&P 500 index options
@@ Property / zbMATH Keywords: S\&P 500 index options / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+rational approximations
@@ Property / zbMATH Keywords: rational approximations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bid-ask interval
@@ Property / zbMATH Keywords: bid-ask interval / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2043335167
@@ Property / OpenAlex ID: W2043335167 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
+Normal rank
@@ Property / cites work @@
+Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
+Normal rank
@@ Property / cites work @@
+Estimation of Asset Distributions from Option Prices: Analysis and Regularization
+Normal rank
@@ Property / cites work @@
+Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data
+Normal rank
@@ Property / cites work @@
+Information Theory and Statistical Mechanics
@@ Property / cites work: Information Theory and Statistical Mechanics / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum entropy distributions inferred from option portfolios on an asset
+Normal rank
@@ Property / cites work @@
+Risk-Neutral Density Recovery via Spectral Analysis
+Normal rank
@@ Property / cites work @@
+Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
+Normal rank
@@ Property / cites work @@
+Arbitrage-free smoothing of the implied volatility surface
+Normal rank
@@ Property / cites work @@
+Q4904857
@@ Property / cites work: Q4904857 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust rational interpolation and least-squares
@@ Property / cites work: Robust rational interpolation and least-squares / rank @@
+Normal rank
@@ Property / cites work @@
+Rational approximation of vertical segments
@@ Property / cites work: Rational approximation of vertical segments / rank @@
+Normal rank
@@ Property / cites work @@
+On discrete rational least squares approximation
@@ Property / cites work: On discrete rational least squares approximation / rank @@
+Normal rank
@@ Property / cites work @@
+Comonotone and coconvex rational interpolation and approximation
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3603819
@@ Property / cites work: Q3603819 / rank @@
+Normal rank
@@ Property / cites work @@
+An Improved Algorithm for Discrete $l_1 $ Linear Approximation
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:300172