Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: A Bayesian approach

2019 ◽  
Vol 33 (4) ◽  
pp. 801-825
Author(s):  
Lucas Pereira Lopes ◽  
Vicente Garibay Cancho ◽  
Francisco Louzada
Keyword(s):  
Option Pricing ◽  
Bayesian Approach ◽  
Neutral Density ◽  
Risk Neutral ◽  
Heteroscedastic Model ◽  
Risk Neutral Density

A Non-Structural Investigation of VIX Risk Neutral Density

2017 ◽  
Author(s):  
Andrea Barletta ◽  
Paolo Santucci de Magistris ◽  
Francesco Violante
Keyword(s):  
Structural Investigation ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density

Recovering Risk Neutral Densities from Option Prices: A New Approach

2008 ◽  
Vol 43 (4) ◽  
pp. 1037-1053 ◽  
Author(s):  
Leonidas S. Rompolis ◽  
Elias Tzavalis
Keyword(s):  
Probability Density Function ◽  
Probability Density ◽  
Empirical Evidence ◽  
Neutral Density ◽  
Option Prices ◽  
Exponential Form ◽  
New Approach ◽  
Risk Neutral ◽  
Risk Neutral Probabilities ◽  
Risk Neutral Density

AbstractIn this paper we present a new method of approximating the risk neutral density (RND) from option prices based on the C-type Gram-Charlier series expansion (GCSE) of a probability density function. The exponential form of this type of GCSE guarantees that it will always give positive values of the risk neutral probabilities, and it can allow for stronger deviations from normality, which are two drawbacks of the A-type GCSE used in practice. To evaluate the performance of the suggested expansion of the RND, the paper presents simulation and empirical evidence.

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