A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices /

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper propo...

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Xehetasun bibliografikoak
Egile nagusia: Cheng, Kevin
Formatua: Aldizkaria
Hizkuntza:English
Argitaratua: Washington, D.C. : International Monetary Fund, 2010.
Saila:IMF Working Papers; Working Paper ; No. 2010/181
Sarrera elektronikoa:Full text available on IMF