A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices »
Series: IMF Working Papers
Author(s): Kevin Cheng
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2010
Keywords: Implied risk-neutral density functions, market expectations, probability, kurtosis, equation, probability density, standard deviation, Estimation,
Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset...