Guillaume, Florence; Schoutens, Wim - In: Quantitative Finance 13 (2013) 9, pp. 1359-1373
<title>Abstract</title> This paper provides a new market implied calibration based on a moment matching methodology where the moments of the risk-neutral density function are inferred from at-the-money and out-the-money European vanilla option quotes. In particular, we derive a model-independent risk-neutral...