Monte Carlo analysis of methods for extracting risk-neutral densities with affine jump diffusions
Yes === This paper compares several widely-used and recently-developed methods to extract risk-neutral densities (RND) from option prices in terms of estimation accuracy. It shows that positive convolution approximation method consistently yields the most accurate RND estimates, and is insensitiv...
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| Language: | en |
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2019
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| Online Access: | http://hdl.handle.net/10454/17201 |