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Nonparametric Estimation of Risk-Neutral Densities · Study

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ChapterNonparametric Estimation of Risk-Neutral Densities

Maria Grith2011

OA

Chaptergreen2011

Nonparametric Estimation of Risk-Neutral Densities

Maria Grith · Wolfgang Karl Härdle · Melanie Schienle

28 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 2012The Econometrics of Financial Markets 1978Asset Prices in an Exchange Economy 1997The Econometrics of Financial Markets

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2010The Econometrics of Option Pricingchapter · 13 shared references 2008A GARCH Option Pricing Model with Filtered Historical Simulationarticle · 12 shared references 2018Risk-Neutral Densities: A Reviewreview · 12 shared references 2004The Econometrics of Option Pricingpreprint · 12 shared references 2001Do option markets correctly price the probabilities of movement of the underlying asset?article · 11 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 11 shared references

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Year2011

Typechapter

Published2011-07-10

VenueSpringer eBooks

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-17254-0_11

openalex_workW1534263342

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