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~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"risk-neutral density"
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Option pricing theory
38
Optionspreistheorie
38
Statistical distribution
31
Statistische Verteilung
31
Volatility
18
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18
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17
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17
Risk-neutral density
15
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risk neutral density
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risk-neutral density
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Aufsatz in Zeitschrift
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2
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1
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Review of derivatives research
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2
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2
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1
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1
Review of Pacific Basin financial markets and policies
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of computational finance
1
The journal of futures markets
1
The journal of risk model validation
1
The quarterly journal of finance
1
Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu
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ECONIS (ZBW)
44
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1
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
2
The global spillovers of unconventional monetary policies on tail risks
Alonso, Irma
;
Serrano, Pedro
;
Vaello-Sebastià, Antoni
- In:
Finance research letters
59
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014445403
Saved in:
3
W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul
;
Pirjol, Dan
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
Saved in:
4
Option prices for
risk-neutral
density
estimation using nonparametric methods through big data and large-scale problems
Monteiro, Ana M.
;
Santos, António A. F.
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 152-171
Persistent link: https://www.econbiz.de/10012796300
Saved in:
5
European option pricing using Gumbel distribution
Purohit, Seema Uday
;
Lalit, Prasad Narahar
- In:
International journal of financial engineering
9
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013188781
Saved in:
6
Volatility smile interpolation with radial basis functions
Azemtsa Donfack, Hermann
;
Wafo Soh, Celestin
;
Kotze, Antonie
- In:
International journal of theoretical and applied …
25
(
2022
)
7/8
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014235131
Saved in:
7
Analyzing the risks embedded in option prices with rndfittool
Barletta, Andre
;
Santucci de Magistris, Paolo
- In:
Risks : open access journal
6
(
2018
)
2
,
pp. 1-15
-style options. The software enables the estimation of the
risk-neutral
density
(RND) from the observed option prices by means of …
Persistent link: https://www.econbiz.de/10011811735
Saved in:
8
Risk premia in electricity derivatives markets
Algieri, Bernardina
;
Leccadito, Arturo
;
Tunaru, Diana
- In:
Energy economics
100
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012990257
Saved in:
9
The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar
;
Varma, Jayanth Rama
;
Virmani, …
- In:
Economics letters
204
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
Saved in:
10
An empirical implementation of the Ross recovery theorem as a prediction device
Audrino, Francesco
;
Huitema, Robert
;
Ludwig, Markus
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10012620054
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