Non-Parametric Extraction of Implied Asset Price Distributions

Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typicall...

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Veröffentlicht in:	arXiv.org 2006-07
Hauptverfasser:	Healy, Jerome V, Dixon, Maurice, Read, Brian J, Fang Fang Cai
Format:	Artikel
Sprache:	eng
Schlagworte:	Expiration Finite difference method Kurtosis Neural networks Pricing Put & call options Risk levels Risk management Securities prices Volatility
Online-Zugang:	Volltext
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