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...
| मुख्य लेखक: | |
|---|---|
| स्वरूप: | पत्रिका |
| भाषा: | English |
| प्रकाशित: |
Washington, D.C. :
International Monetary Fund,
2010.
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| श्रृंखला: | IMF Working Papers; Working Paper ;
No. 2010/181 |
| ऑनलाइन पहुंच: | Full text available on IMF |