Name
Abstract | ||
|---|---|---|
. From observed bid and ask prices of European call and put options we estimate the risk neutral density of a stock at some
future time . We restrict attention to a class of densities with heavy tails and use a Bayesian formulation in order to study the variation
in the distributions fitting the data. Heavy tails are here meant in the intuitive sense of being heavier than the tails of
a normal distribution. From the fitted risk neutral density we also consider the inverse problem of finding the volatility
in a diffusion model for the price process. Finally, we apply our methods to data on the S&P 500 index. |
Year | DOI | Venue |
|---|---|---|
2001 | 10.1007/s007800000025 | Finance and Stochastics |
Keywords | Field | DocType |
inverse problems,risk neutral density,markov chain monte carlo,diffusion model,christmas tree densities,inverse problem,heavy tail,indexation,normal distribution | Econometrics,Financial economics,Normal distribution,Markov chain Monte Carlo,Risk neutral,Inverse problem,Volatility (finance),Bayesian formulation,Diffusion (business),Mathematics,Bid price | Journal |
Volume | Issue | Citations |
5 | 1 | 2 |
PageRank | References | Authors |
0.84 | 3 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Niels Væver Hartvig | 1 | 2 | 0.84 |
| Jens Ledet Jensen | 2 | 65 | 5.43 |
| Jan Pedersen | 3 | 2 | 1.18 |