Recovering Risk Neutral Densities
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In this paper we present a new method of approximating the risk neutral density (RND) from option prices based on the C-type Gram-Charlier series expansion (GCS
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This paper proposes a novel nonparametric method to recover the implied risk-neutral density (RND) from option prices. The main advantages of this method are th
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Risk neutral densities recovered from option prices can be used to infer market participantsņ expectations of future stock returns and are a vital tool for pri
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Pages: 52
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