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...
| Autore principale: | |
|---|---|
| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2010.
|
| Serie: | IMF Working Papers; Working Paper ;
No. 2010/181 |
| Accesso online: | Full text available on IMF |