Estimating option implied risk‐neutral densities using spline and hypergeometric functions

DOI10.1111/j.1368-423X.2007.00206.xzbMath1186.91209MaRDI QIDQ5427667

Ruijun Bu, Kaddour Hadri

Publication date: 21 November 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

hypergeometric functionsrisk-neutral densitynatural splineroot mean integrated squared error

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

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INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL, Monotonicity of three kinds of functions involving the Gaussian hypergeometric function, Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails, A multifactor transformed diffusion model with applications to VIX and VIX futures, Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing

Cites Work

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• Do option markets correctly price the probabilities of movement of the underlying asset?