Arbeitspapier
A simple and reliable way to compute option-based risk-neutral distributions
This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style guidance through the estimation process. The technique is robust and avoids violations of option no-arbitrage restrictions that can lead to negative probabilities and other impla usible results. I give examples for equities, foreign exchange, and long-term interest rates.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 677
- Klassifikation
-
Wirtschaft
Financial Crises
Contingent Pricing; Futures Pricing; option pricing
Financial Forecasting and Simulation
General Financial Markets: Government Policy and Regulation
- Thema
-
option pricing
risk-neutral distributions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Malz, Allan M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Malz, Allan M.
- Federal Reserve Bank of New York
Entstanden
- 2014
Ähnliche Objekte (12)
Option pricing: Real and risk-neutral distributions
Option Pricing: Real and Risk-Neutral Distributions
Option pricing : real and risk-neutral distributions
Option-Implied Risk-Neutral Distributions and Risk Aversion
Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review
H1jet, a fast program to compute transverse momentum distributions
Extracting risk-neutral probability distributions from option prices using trading volume as a filter
Recovering Probability Distributions from Option Prices
Mini-Craniotomy for Chronic Subdural Hematoma: A Reliable Surgical Option
Think globally, compute locally
Compute-Service am RZ
Veracruz: privacy-preserving collaborative compute
Option pricing: Real and risk-neutral distributions
Option Pricing: Real and Risk-Neutral Distributions
Option pricing : real and risk-neutral distributions
Option-Implied Risk-Neutral Distributions and Risk Aversion
Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review
H1jet, a fast program to compute transverse momentum distributions
Extracting risk-neutral probability distributions from option prices using trading volume as a filter
Recovering Probability Distributions from Option Prices
Mini-Craniotomy for Chronic Subdural Hematoma: A Reliable Surgical Option
Think globally, compute locally
Compute-Service am RZ
Veracruz: privacy-preserving collaborative compute
Option pricing: Real and risk-neutral distributions
Option Pricing: Real and Risk-Neutral Distributions
Option pricing : real and risk-neutral distributions
Option-Implied Risk-Neutral Distributions and Risk Aversion
Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review
H1jet, a fast program to compute transverse momentum distributions
Extracting risk-neutral probability distributions from option prices using trading volume as a filter
Recovering Probability Distributions from Option Prices
Mini-Craniotomy for Chronic Subdural Hematoma: A Reliable Surgical Option
Think globally, compute locally
Compute-Service am RZ