Recovering implied minimum distance risk-neutral probability measures using GMD

DOI10.3969/J.ISSN.1001-0505.2011.01.041MaRDI QIDQ2886045zbMATH OpenFDO

Authors Hairong Cui, Xiaoping Hu

Publication date 1 June 2012

Published in Journal of Southeast University. Natural Science Edition (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-0505.2011.01.041

zbMATH Keywords

Gaussian mixture distributionsminimum distance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Determining and benchmarking risk neutral distributions implied from option prices
• Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
• Revealing the implied risk-neutral MGF from options: the wavelet method
• A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
• scientific article; zbMATH DE number 1500698

Cited in

(2)

• Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution
• Revealing the implied risk-neutral MGF from options: the wavelet method

This page was built for publication: Recovering implied minimum distance risk-neutral probability measures using GMD

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886045)