Related Books

Implied Risk-neutral Probability Density Functions from Option Prices
Language: en
Pages: 56
Authors: Bhupinder Bahra
Categories: Prices
Type: BOOK - Published: 1997 - Publisher:

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Inversion of Option Prices for Implied Risk Neutral Probability Density Functions
Language: en
Pages: 27
Authors: Chen Wang
Categories:
Type: BOOK - Published: 2014 - Publisher:

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This paper applies classic linear inverse theory to the estimation of the implied risk neutral probability density function (PDF) from option prices. To overcom
A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
Language: en
Pages: 33
Authors: Mr.Kevin C. Cheng
Categories: Business & Economics
Type: BOOK - Published: 2010-08-01 - Publisher: International Monetary Fund

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Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral
Comparing Risk-Neutral Probability Density Functions Implied by Option Prices - Market Uncertainty and Ecb-Council Meetings
Language: en
Pages: 24
Authors: Martin Mandler
Categories:
Type: BOOK - Published: 2002 - Publisher:

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In recent years different techniques to uncover the information on market expectations implicit in option prices have been developed. This paper proposes an app
Option-Implied Risk-Neutral Distributions and Risk Aversion
Language: en
Pages:
Authors: Jens Carsten Jackwerth
Categories:
Type: BOOK - Published: 2008 - Publisher:

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