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...
Autores Principales: | , , |
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Formato: | Artículo (Article) |
Lenguaje: | Inglés (English) |
Publicado: |
2020
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Materias: | |
Acceso en línea: | http://hdl.handle.net/1992/47055 |