Determining and benchmarking risk neutral distributions implied from option prices (Q300172): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6597257 / rank | |||
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implied probability density function | |||
| Property / zbMATH Keywords: implied probability density function / rank | |||
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benchmarking | |||
| Property / zbMATH Keywords: benchmarking / rank | |||
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S\&P 500 index options | |||
| Property / zbMATH Keywords: S\&P 500 index options / rank | |||
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rational approximations | |||
| Property / zbMATH Keywords: rational approximations / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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bid-ask interval | |||
| Property / zbMATH Keywords: bid-ask interval / rank | |||
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Revision as of 21:44, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Determining and benchmarking risk neutral distributions implied from option prices |
scientific article |
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Determining and benchmarking risk neutral distributions implied from option prices (English)
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23 June 2016
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implied probability density function
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benchmarking
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S\&P 500 index options
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rational approximations
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option pricing
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bid-ask interval
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