Estimating option implied risk-neutral densities using spline and hypergeometric functions
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- Alexander Veremyev & Peter Tsyurmasto & Stan Uryasev & R. Rockafellar, 2014. "Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing," Computational Management Science, Springer, vol. 11(4), pages 341-364, October.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
- Guillermo Benavides Perales & Israel Felipe Mora Cuevas, 2008. "Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 33-52, May.
- Malz, Allan M., 2014. "Simple and reliable way to compute option-based risk-neutral distributions," Staff Reports 677, Federal Reserve Bank of New York.
- Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016.
"Reducible diffusions with time-varying transformations with application to short-term interest rates,"
Elsevier, vol. 52(PA), pages 266-277.
- Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
- repec:eee:eneeco:v:64:y:2017:i:c:p:440-457 is not listed on IDEAS
- Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J, 2014. "Generating Options-Implied Probability Densities to Understand Oil Market Events," International Finance Discussion Papers 1122, Board of Governors of the Federal Reserve System (U.S.).
- Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations," Working Papers halshs-00408014, HAL.
- repec:eee:jimfin:v:78:y:2017:i:c:p:1-20 is not listed on IDEAS
- Jean-Baptiste Monnier, 2013. "Technical report : Risk-neutral density recovery via spectral analysis," Papers 1302.2567, arXiv.org.
- Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
- Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers 09-02, Queen's Management School, Queen's University Belfast.
- Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
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