Estimating Option Implied Risk Neutral Densities : A Novel Parametric Approach (Preprint)
Year of publication: |
2019
|
---|---|
Authors: | Orosi, Greg |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Schätzung | Estimation |
Description of contents: | Abstract [papers.ssrn.com] ; Abstract [doi.org] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Derivatives, Vol. 23, No. 1, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 26, 2013 erstellt Volltext nicht verfügbar |
Other identifiers: | 10.2139/ssrn.2260360 [DOI] |
Classification: | c58 ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Robust Estimation of Shape-Constrained State Price Density Surfaces
Ludwig, Markus, (2015)
-
Comparison of Methods to Estimate Option Implied Risk Neutral Densities
Lai, Wan Ni, (2012)
-
de Vincent-Humphreys, Rupert, (2012)
- More ...
-
A simple method for extracting the probability of default from American put option prices
Chang, Bo Young, (2020)
-
A simple method for extracting the probability of default from American put option prices
Chang, Bo Young, (2020)
-
Equity option-implied probability of default and equity recovery rate
Chang, Bo Young, (2016)
- More ...