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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Detalles Bibliográficos
Autores Principales: Casarin, R., Molina, G., Ter Horst, E.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Materias:
Acceso en línea:http://hdl.handle.net/1992/47055