Comparison of methods to estimate option implied risk-neutral densities

DOI10.1080/14697688.2011.606823zbMATH Open1402.91794OpenAlexW2113416345MaRDI QIDQ5247238FDOQ5247238

Wan Ni Lai

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.606823

zbMATH Keywords

Monte Carlo methodsfinancial optionsapplied mathematical financerisk neutral distributions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spline approximation (41A15)

Cites Work

• Analysis of Financial Time Series
• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Nonparametric risk management and implied risk aversion
• Asset Prices in an Exchange Economy
• Empirical assessment of an intertemporal option pricing model with latent variables.

Cited In (3)

• Testing the martingale restriction for option implied densities
• Determining and benchmarking risk neutral distributions implied from option prices
• Estimating option implied risk‐neutral densities using spline and hypergeometric functions

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