Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods
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References listed on IDEAS
- Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
- Karim Abadir & Michael Rockinger, "undated". "Density-Embedding Functions," Discussion Papers 97/16, Department of Economics, University of York.
- Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
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KeywordsRisk-neutral density; mixture of log-normal distributions; Edgeworth expansions; Hermite polynomials; tree-based methods; kernel regression; Heston’s stochastic volatility model; jump diffusion model;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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