Recovering Risk-Neutral Densities: A New Nonparametric Approach

Preprint

1 January 2000

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.246063

Abstract

This paper proposes a novel nonparametric method to recover the implied risk-neutral density (RND) from option prices. The main advantages of this method are th

Keywords

OPTION VALUATION
NONPARAMETRIC ESTIMATION
RISK NEUTRAL DENSITY

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