Hartvig, Niels VÖver; Jensen, Jens Ledet; Pedersen, Jan - In: Finance and Stochastics 5 (2001) 1, pp. 115-128
From observed bid and ask prices of European call and put options we estimate the risk neutral density of a stock at some future time $t0$. We restrict attention to a class of densities with heavy tails and use a Bayesian formulation in order to study the variation in the distributions fitting...
