Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral
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Citations
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Cited by:
- Rihab Bedoui & Haykel Hamdi, 2010. "Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods," EconomiX Working Papers 2010-16, University of Paris Nanterre, EconomiX.
- Jondeau, E. & Rockinger, M., 1999. "Estimating Gram-Charlier Expansions with Positivity Constraints," Working papers 56, Banque de France.
- Maria Grith & Volker Krätschmer, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers SFB649DP2010-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
Keywords
Risk neutral density ; Option pricing ; Exchange rate option.;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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