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Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
Quantitative Finance ( IF 1.3 ) Pub Date : 2023-12-20 , DOI: 10.1080/14697688.2023.2272677 Thomas R. Bollinger 1 , William R. Melick 2 , Charles P. Thomas 3
Quantitative Finance ( IF 1.3 ) Pub Date : 2023-12-20 , DOI: 10.1080/14697688.2023.2272677 Thomas R. Bollinger 1 , William R. Melick 2 , Charles P. Thomas 3
Affiliation
The popular ‘curve-fitting’ method of using option prices to construct an underlying asset's risk neutral probability density function (RND) first recovers the interior of the density and then atta...
中文翻译:
有原则的粘贴:将尾部附加到从期权价格恢复的风险中性概率密度函数上
使用期权价格构建标的资产的风险中性概率密度函数(RND)的流行“曲线拟合”方法首先恢复密度的内部,然后附加...
更新日期:2023-12-20
中文翻译:
有原则的粘贴:将尾部附加到从期权价格恢复的风险中性概率密度函数上
使用期权价格构建标的资产的风险中性概率密度函数(RND)的流行“曲线拟合”方法首先恢复密度的内部,然后附加...