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~person:"Coutant, Sophie"
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Hermite polynomials
1
Index option's pricing
1
PIBOR
1
Political Risk
1
Risk aversion function
1
Risk neutral density
1
Statistical density
1
futures option pricing
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notional
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risk neutral density
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Coutant, Sophie
Vilsmeier, Johannes
11
Härdle, Wolfgang Karl
6
Bondarenko, Oleg
5
Glatzer, Ernst
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Grith, Maria
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Krätschmer, Volker
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Craig, Ben R.
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Değerli, Ahmet
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Alonso Álvarez, Irma
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Alonso, Irma
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Barletta, Andre
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C.E.P.R. Discussion Papers
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Université Paris-Dauphine (Paris IX)
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Implied risk aversion in option prices using Hermite polynomials
Coutant, Sophie
-
Université Paris-Dauphine (Paris IX)
-
1999
(1996) and Aït-Sahalia and Lo (1998) show that there exists a theoretical relationship between the
Risk
Neutral
Density
(RND …
Persistent link: https://www.econbiz.de/10011073960
Saved in:
2
Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
Coutant, Sophie
;
Jondeau, Eric
;
Rockinger, Michael
-
C.E.P.R. Discussion Papers
-
1998
The aim of this paper is to compare various methods which extract a
Risk
Neutral
Density
(RND) out of PIBOR, as well as …
Persistent link: https://www.econbiz.de/10005124441
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