Craig, Ben R.; Glatzer, Ernst; Keller, Joachim G.; … - 2003 - [Elektronische Ressource]
a state-
price density for the underlying instrument. In the event of risk neutrality, these
state-price densities … detailed literature review is given by Jackwerth (1999); some recent
studies include Bliss and Panigirtzoglou (2002), Coutant … of returns. The litera-
ture contains many studies on the information content of the (risk-neutral) variance
extracted …