A bayesian time-varying approach to risk neutral density estimation
In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and Skiadopoulos...
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
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2020
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| Acceso en línea: | http://hdl.handle.net/1992/47055 |
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ir-1992-470552020-11-04T20:25:27Z A bayesian time-varying approach to risk neutral density estimation Casarin, R. Molina, G. Ter Horst, E. Bayesian time-varying Risk neutral Density estimation In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and Skiadopoulos (2004), which we extend through a Bayesian approach to the problem, featuring: (1) an extension to a multivariate setting across maturities and over time; (2) a flexible estimation approach for the smoothing parameter, traditionally assumed common to all assets, known and fixed across maturities and time, but now potentially different between assets and maturities, and over time; and (3) information borrowing about the implied curves and risk neutral densities not only across different option maturities, but also dynamically. 2020-10-01T16:53:20Z 2020-10-01T16:53:20Z 2018 article publishedVersion http://hdl.handle.net/1992/47055 https://www.semanticscholar.org/paper/A-Bayesian-Time-Varying-Approach-to-Risk-Neutral-Casarin-Molina/714231586ada252aee9845240b8da2c86b5ba589 eng openAccess application/pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca |
| institution |
Universidad de los Andes |
| collection |
DSpace |
| language |
Inglés (English) |
| topic |
Bayesian time-varying Risk neutral Density estimation |
| spellingShingle |
Bayesian time-varying Risk neutral Density estimation Casarin, R. Molina, G. Ter Horst, E. A bayesian time-varying approach to risk neutral density estimation |
| description |
In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and Skiadopoulos (2004), which we extend through a Bayesian approach to the problem, featuring: (1) an extension to a multivariate setting across maturities and over time; (2) a flexible estimation approach for the smoothing parameter, traditionally assumed common to all assets, known and fixed across maturities and time, but now potentially different between assets and maturities, and over time; and (3) information borrowing about the implied curves and risk neutral densities not only across different option maturities, but also dynamically. |
| format |
Artículo (Article) |
| author |
Casarin, R. Molina, G. Ter Horst, E. |
| author_facet |
Casarin, R. Molina, G. Ter Horst, E. |
| author_sort |
Casarin, R. |
| title |
A bayesian time-varying approach to risk neutral density estimation |
| title_short |
A bayesian time-varying approach to risk neutral density estimation |
| title_full |
A bayesian time-varying approach to risk neutral density estimation |
| title_fullStr |
A bayesian time-varying approach to risk neutral density estimation |
| title_full_unstemmed |
A bayesian time-varying approach to risk neutral density estimation |
| title_sort |
bayesian time-varying approach to risk neutral density estimation |
| publishDate |
2020 |
| url |
http://hdl.handle.net/1992/47055 |
| _version_ |
1705934530725019648 |
| score |
12,131701 |