Determining and benchmarking risk neutral distributions implied from option prices

DOI10.1016/J.AMC.2015.02.011zbMath1338.91161OpenAlexW2043335167MaRDI QIDQ300172

Jacques Tempère, Oliver Salazar Celis, Damiaan Lemmens, Lingzhi Liang, Annie A. M. Cuyt

Publication date: 23 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10067/1242930151162165141

zbMATH Keywords

option pricingbenchmarkingrational approximationsbid-ask intervalimplied probability density functionS\&P 500 index options

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Information Theory and Statistical Mechanics
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• Estimation of Asset Distributions from Option Prices: Analysis and Regularization
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An Improved Algorithm for Discrete $l_1 $ Linear Approximation

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