A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1653195 ◽

2010 ◽

Author(s):

Kevin C. Cheng

Keyword(s):

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Risk Neutral ◽

New Framework

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A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

IMF Working Papers ◽

10.5089/9781455202157.001 ◽

2010 ◽

Vol 10 (181) ◽

pp. 1 ◽

Cited By ~ 7

Author(s):

Kevin C. Cheng ◽

Keyword(s):

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Risk Neutral ◽

New Framework

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Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market

Quantitative Finance ◽

10.1080/14697688.2011.586355 ◽

2012 ◽

Vol 12 (12) ◽

pp. 1877-1891 ◽

Cited By ~ 5

Author(s):

Yijun Du ◽

Chen Wang ◽

Yibing Du

Keyword(s):

Natural Gas ◽

General Theory ◽

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Option Prices ◽

Natural Gas Market ◽

Risk Neutral ◽

Gas Market

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- Inversion of Option Prices for Implied Risk-Neutral Probability Density Functions: General Theory and Its Applications to the Natural Gas Market

Commodities ◽

10.1201/b19020-14 ◽

2015 ◽

pp. 186-207

Keyword(s):

Natural Gas ◽

General Theory ◽

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Option Prices ◽

Natural Gas Market ◽

Risk Neutral ◽

Gas Market

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Implied risk-neutral probability density functions from option prices

Forecasting Volatility in the Financial Markets ◽

10.1016/b978-075066942-9.50011-x ◽

2007 ◽

pp. 201-226 ◽

Cited By ~ 5

Author(s):

Bhupinder Bahra

Keyword(s):

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Option Prices ◽

Risk Neutral

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Inversion of Option Prices for Implied Risk Neutral Probability Density Functions: General Theory and its Applications to the Natural Gas Market

SSRN Electronic Journal ◽

10.2139/ssrn.1088785 ◽

2008 ◽

Author(s):

Chen Wang ◽

Yijun Du

Keyword(s):

Natural Gas ◽

General Theory ◽

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Option Prices ◽

Natural Gas Market ◽

Risk Neutral ◽

Gas Market

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Comparing Risk-Neutral Probability Density Functions Implied By Option Prices - Market Uncertainty And ECB-Council Meetings

SSRN Electronic Journal ◽

10.2139/ssrn.298779 ◽

2002 ◽

Cited By ~ 3

Author(s):

Martin Mandler

Keyword(s):

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Option Prices ◽

Market Uncertainty ◽

Risk Neutral

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Implied Risk-neutral Probability Density Functions From Option Prices: Theory and Application

SSRN Electronic Journal ◽

10.2139/ssrn.77429 ◽

1998 ◽

Cited By ~ 78

Author(s):

Bhupinder Bahra

Keyword(s):

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Option Prices ◽

Risk Neutral

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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity

European Journal of Operational Research ◽

10.1016/j.ejor.2007.02.041 ◽

2008 ◽

Vol 187 (2) ◽

pp. 525-542 ◽

Cited By ~ 32

Author(s):

Ana Margarida Monteiro ◽

Reha H. Tütüncü ◽

Luís N. Vicente

Keyword(s):

Probability Density ◽

Cubic Splines ◽

Probability Density Functions ◽

Density Functions ◽

Risk Neutral

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Mie scattering measurements of scalar probability density functions in compressible mixing layers

10.2514/6.1991-1686 ◽

1991 ◽

Cited By ~ 3

Author(s):

N. MESSERSMITH ◽

J. DUTTON ◽

H. KRIER

Keyword(s):

Probability Density ◽

Mie Scattering ◽

Probability Density Functions ◽

Mixing Layers ◽

Density Functions ◽

Scattering Measurements

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Summary Statistics of Implied Probability Density Functions and their Properties

SSRN Electronic Journal ◽

10.2139/ssrn.314392 ◽

2002 ◽

Cited By ~ 1

Author(s):

Damien P.G. Lynch ◽

Nikolaos Panigirtzoglou

Keyword(s):

Probability Density ◽

Probability Density Functions ◽

Density Functions ◽

Summary Statistics

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