A class of risk neutral densities with heavy tails (Q5942936)
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scientific article; zbMATH DE number 1646512
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of risk neutral densities with heavy tails |
scientific article; zbMATH DE number 1646512 |
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A class of risk neutral densities with heavy tails (English)
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16 September 2001
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The authors propose to use Christmas tree densities for the risk neutral densities and set up a Bayesian framework for studying the densities. A method for inferring the volatility from the risk neutral density is proposed. The authors apply this method to data on the S\&P 500 index.
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Christmas tree densities
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risk neutral densities
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Markov chain Monte Carlo
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inverse problems
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diffusion model
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