Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices

DOI10.1080/14697688.2023.2272677OpenAlexW4388457315MaRDI QIDQ6127430

Unnamed Author, Charles P. Thomas, Unnamed Author

Publication date: 12 April 2024

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2272677

zbMATH Keywords

put-call parityoption pricingrisk-neutral density

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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