Arbitrage-free estimation of the risk-neutral density from the implied volatility smile

The Journal of Computational Finance ◽

10.21314/jcf.2003.098 ◽

2003 ◽

Vol 7 (1) ◽

pp. 75-106 ◽

Author(s):

Bernhard Brunner ◽

Reinhold Hafner

Keyword(s):

Implied Volatility ◽

Neutral Density ◽

Volatility Smile ◽

Risk Neutral ◽

Risk Neutral Density

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Arbitrage-Free Estimation of the Risk-Neutral Density from the Implied Volatility Smile

SSRN Electronic Journal ◽

10.2139/ssrn.317463 ◽

2002 ◽

Author(s):

Bernhard Brunner ◽

Reinhold Hafner

Keyword(s):

Implied Volatility ◽

Neutral Density ◽

Volatility Smile ◽

Risk Neutral ◽

Risk Neutral Density

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Volatility Smile and Risk Neutral Density for FX Options: An Example for the USDMXN

SSRN Electronic Journal ◽

10.2139/ssrn.2862185 ◽

2016 ◽

Author(s):

Luis Murra

Keyword(s):

Neutral Density ◽

Volatility Smile ◽

Risk Neutral ◽

Risk Neutral Density

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Does Indian Market Smile: Implied Risk Neutral Density for the Indian Options Market

SSRN Electronic Journal ◽

10.2139/ssrn.2482013 ◽

2014 ◽

Author(s):

Abhishek Kumar ◽

S. Kumar

Keyword(s):

Neutral Density ◽

Options Market ◽

Indian Market ◽

Risk Neutral ◽

Risk Neutral Density

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A Non-Structural Investigation of VIX Risk Neutral Density

SSRN Electronic Journal ◽

10.2139/ssrn.2943964 ◽

2017 ◽

Author(s):

Andrea Barletta ◽

Paolo Santucci de Magistris ◽

Francesco Violante

Keyword(s):

Structural Investigation ◽

Neutral Density ◽

Risk Neutral ◽

Risk Neutral Density

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An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options

SSRN Electronic Journal ◽

10.2139/ssrn.2486173 ◽

2014 ◽

Author(s):

J. C. Arismendi ◽

Marcel Prokopczuk

Keyword(s):

Neutral Density ◽

Analytic Approximation ◽

Risk Neutral ◽

Risk Neutral Density

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A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density

The Journal of Derivatives ◽

10.3905/jod.2021.1.137 ◽

2021 ◽

pp. jod.2021.1.137

Author(s):

Zhenyu Cui ◽

Zixiao Yu

Keyword(s):

Neutral Density ◽

Fourier Cosine ◽

Risk Neutral ◽

Risk Neutral Density

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Estimating the Risk-Neutral Density

Springer Finance - Implementing Models in Quantitative Finance: Methods and Cases ◽

10.1007/978-3-540-49959-6_12 ◽

2007 ◽

pp. 331-344

Keyword(s):

Neutral Density ◽

Risk Neutral ◽

Risk Neutral Density

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Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2018.10.010 ◽

2020 ◽

Vol 54 ◽

pp. 100862

Author(s):

Lina M. Cortés ◽

Andrés Mora-Valencia ◽

Javier Perote

Keyword(s):

Neutral Density ◽

Nonparametric Approach ◽

Risk Neutral ◽

Risk Neutral Density

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Extracting Risk-Neutral Density Information from Options Market Prices

Encyclopedia of Financial Models ◽

10.1002/9781118182635.efm0072 ◽

2012 ◽

Author(s):

Arturo Leccadito ◽

Radu Tunaru

Keyword(s):

Neutral Density ◽

Options Market ◽

Market Prices ◽

Risk Neutral ◽

Risk Neutral Density

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A Bayesian Time-Varying Approach to Risk Neutral Density Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2621108 ◽

2015 ◽

Author(s):

Roberto Casarin ◽

German Molina ◽

Enrique ter Horst

Keyword(s):

Density Estimation ◽

Neutral Density ◽

Time Varying ◽

Risk Neutral ◽

Risk Neutral Density

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