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Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
16 references·9 citing·31 second hop
Arbitrage-free estimation of the risk-neutral density from the implied volatility smile (2003)Arbitrage-free estimation of the risk-neu…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Testing the stability of implied probability density functions (2002)Testing the stability of impl…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Introduction to Mathematical Finance (2000)Introduction to Mathematical …Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis (1997)Recovering an Asset's Implied…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Options and Efficiency (1976)Options and EfficiencyThe Role of Securities in the Optimal Allocation of Risk-bearing (1973)The Role of Securities in the…Theory of Value (1959)Theory of ValueSemi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (2014)Semi-nonparametric estimation…Option Data and Modeling BSM Implied Volatility (2011)Option Data and Modeling BSM …Retrieving risk neutral densities from European option prices based on the principle of maximum entropy (2010)Retrieving risk neutral densi…Arbitrage-free approximation of call price surfaces and input data risk (2010)Arbitrage-free approximation …Stochastic Local Volatility (2008)Stochastic Local VolatilityRecovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity (2007)Recovering risk-neutral proba…On extracting information implied in options (2007)On extracting information imp…Option-implied risk preferences: An extension to wider classes of utility functions (2006)Option-implied risk preferenc…Hedging with Stochastic Local Volatility (2004)Hedging with Stochastic Local…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)Implied Binomial Trees (1994)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Ex Ante Skewness and Expected Stock Returns (2012)News implied volatility and disaster concerns (2016)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Theory of Financial Decision Making. (1988)Measuring and Testing the Impact of News on Volatility (1993)The Model-Free Implied Volatility and Its Information Content (2005)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Problems and Residual Claims (1983)Well-being : the foundations of hedonic psychology (1999)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1959Theory of Value2,538 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1973The Role of Securities in the Optimal Allocation of Risk-bearing1,179 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 1976Options and Efficiency830 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 1997Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis380 cited
  • 2000Introduction to Mathematical Finance343 cited

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  • 2002Testing the stability of implied probability density functions269 cited
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    • 2014Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints54 cited
    • 2007Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity53 cited
    • 2006Option-implied risk preferences: An extension to wider classes of utility functions49 cited
    • 2007On extracting information implied in options47 cited
    • 2008Stochastic Local Volatility47 cited
    • 2010Arbitrage-free approximation of call price surfaces and input data risk39 cited
    • 2010Retrieving risk neutral densities from European option prices based on the principle of maximum entropy37 cited
    • 2011Option Data and Modeling BSM Implied Volatility33 cited
    • 2004Hedging with Stochastic Local Volatility26 cited