Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods
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- Sara Cecchetti & Laura Sigalotti, 2013. "Forward-looking robust portfolio selection," Temi di discussione (Economic working papers) 913, Bank of Italy, Economic Research and International Relations Area.
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More about this item
Keywords
Risk-neutral density; mixture of log-normal distributions; Edgeworth expansions; Hermite polynomials; tree-based methods; kernel regression; Heston’s stochastic volatility model; jump diffusion model;All these keywords.
JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-07-24 (Econometrics)
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