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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
Download Full-text
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Cited By
References
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
◽
Cited By ~ 38
Author(s):
Bernhard Brunner
◽
Reinhold Hafner
Keyword(s):
Implied Volatility
◽
Neutral Density
◽
Volatility Smile
◽
Risk Neutral
◽
Risk Neutral Density
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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
◽
Model Free
◽
Risk Neutral
◽
Risk Neutral Density
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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