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Kundu et al., 2019 - Google Patents

Option implied risk-neutral density estimation: A robust and flexible method

Kundu et al., 2019

Document ID
7920704686174114057
Author
Kundu A
Kumar S
Tomar N
Publication year
Publication venue
Computational Economics

External Links

Snippet

In practice, a reliable and flexible estimation of risk-neutral density from empirical data is a challenging task since it can not be observed directly from the market. In this study, we apply Bernstein polynomial basis to recover the risk-neutral density function from the observed …
Continue reading at link.springer.com (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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