Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Year of publication: |
2020
|
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Authors: | Cortés, Lina M. ; Mora-Valencia, Andrés ; Perote, Javier |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-15
|
Subject: | Option pricing | Oil prices | Risk neutral density | Semi-nonparametric approach | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Ölpreis | Oil price | Risiko | Risk | Nichtparametrisches Verfahren | Nonparametric statistics |
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