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Recovering Risk-Neutral Densities: A New Nonparametric Approach
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Recovering Risk-Neutral Densities: A New Nonparametric Approach
Recovering Risk-Neutral Densities: A New Nonparametric Approach
OB
Oleg Bondarenko
Oleg Bondarenko
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1 January 2000
preprint
Published by
Elsevier BV
in
SSRN Electronic Journal
https://doi.org/10.2139/ssrn.246063
Abstract
This paper proposes a novel nonparametric method to recover the implied risk-neutral density (RND) from option prices. The main advantages of this method are th
Keywords
PRICES
RND
RISK NEUTRAL DENSITIES
RECOVERING RISK
NONPARAMETRIC
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Open Access
Cited by 15 articles