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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Inferring risk-averse probability distributions from option prices using implied binomial trees
Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011
Persistent link: https://www.econbiz.de/10008988015
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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An analytic approximation of the implied risk-neutral density of American multi-asset options
Arismendi Zambrano, Juan Carlos; Prokopczuk, Marcel - 2014
The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For American options and path-dependent options in general, this principle cannot be applied. In this paper, we derive a model-free analytical formula for the implied...
Persistent link: https://www.econbiz.de/10010532229
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Deriving option-implied probability densities for foreign exchange markets
Blake, Andrew P.; Rule, Garreth - 2015
Persistent link: https://www.econbiz.de/10011289967
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Lundbeck Option Call Option Contract Using the Brownian Motion
Guirguis, Michel - 2019
We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using …. Applying a lognormal implied distribution using the Brownian motion help us to price the contract at a different market prices …
Persistent link: https://www.econbiz.de/10012890737
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Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Danske Bank Call Option Contract Using the Option Delta
Guirguis, Michel - 2019
We analyze the implied volatility smile of a lognormal distribution on a 3 – month Danske bank call option contract …. Applying a lognormal implied distribution help us to price the contract at a market price and get better estimates of a risk …
Persistent link: https://www.econbiz.de/10012890742