The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index

DOI10.1155/2017/3156250zbMath1437.91436OpenAlexW2623233842WikidataQ59145147 ScholiaQ59145147MaRDI QIDQ670416

Nessim Souissi

Publication date: 18 March 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/3156250

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Martingales and arbitrage in multiperiod securities markets
• Estimation of risk-neutral densities using positive convolution approximation
• Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
• Nonparametric risk management and implied risk aversion
• Extracting market information from equity options with exponential Lévy processes
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Nonparametric Pricing of Interest Rate Derivative Securities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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