Extraction of market expectations from risk-neutral density
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References listed on IDEAS
- Bødskov Andersen, Allan & Wagener, Tom, 2002. "Extracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices," Working Paper Series 198, European Central Bank.
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Cited by:
- Fabien Le Floc’h & Cornelis W. Oosterlee, 2019.
"Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II,"
Risks, MDPI, vol. 7(1), pages 1-21, March.
- Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
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More about this item
Keywords
market expectation; risk-neutral density; mixture of log-normals; Black-Scholes Merton; generalized beta; maturity horizon; DAX index options;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G1 - Financial Economics - - General Financial Markets
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