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

2002 ◽  
Author(s):  
Bernhard Brunner ◽  
Reinhold Hafner
Keyword(s):  
Implied Volatility ◽  
Neutral Density ◽  
Volatility Smile ◽  
Risk Neutral ◽  
Risk Neutral Density

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

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

A Non-Structural Investigation of VIX Risk Neutral Density

2017 ◽  
Author(s):  
Andrea Barletta ◽  
Paolo Santucci de Magistris ◽  
Francesco Violante
Keyword(s):  
Structural Investigation ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density

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

2021 ◽  
pp. jod.2021.1.137
Author(s):  
Zhenyu Cui ◽  
Zixiao Yu
Keyword(s):  
Neutral Density ◽  
Fourier Cosine ◽  
Model Free ◽  
Risk Neutral ◽  
Risk Neutral Density

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

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

A Bayesian Time-Varying Approach to Risk Neutral Density Estimation

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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