Extracting risk neutral probability densities by fitting implied volatility smiles : some methodological points and an application to the 3M euribor futures option prices
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Dimensions
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30 cm
- Extent
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47 S.
- Language
-
Englisch
- Notes
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graph. Darst.
- Bibliographic citation
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Working paper series / Europäische Zentralbank ; No. 198
- Keyword
-
Cap
Zinsswap
Zinsoption
Zinstermingeschäft
Collar
Optionspreistheorie
Volatilität
Theorie
Risikoverhalten
- Event
-
Veröffentlichung
- (where)
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Frankfurt am Main
- (who)
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Europ. Central Bank
- (when)
-
2002
- Creator
- Table of contents
- Rights
-
Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
- Last update
-
11.03.2025, 12:31 PM CET
Data provider
This object is provided by:
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Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Bødskov Andersen, Allan
- Wagener, Tom
- Europ. Central Bank
Time of origin
- 2002
Other Objects (12)
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Extracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices
Extracting risk neutral probability densities by fitting implied volatility smiles: Some methodological points and an application to the 3M Euribor futures option prices
DSFM fitting of Implied Volatility Surfaces
DSFM fitting of implied volatility surfaces
State Price Densities implied from weather derivatives
State Price Densities implied from weather derivatives
Interpreting implied risk-neutral densities: the role of risk premia
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Option pricing : modeling and extracting state price densities ; a new methodology
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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface
Densities, spectral densities and modality
Extracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices
Extracting risk neutral probability densities by fitting implied volatility smiles: Some methodological points and an application to the 3M Euribor futures option prices
DSFM fitting of Implied Volatility Surfaces
DSFM fitting of implied volatility surfaces
State Price Densities implied from weather derivatives
State Price Densities implied from weather derivatives
Interpreting implied risk-neutral densities: the role of risk premia
Interpreting implied risk neutral densities : the role of risk premia
Option pricing : modeling and extracting state price densities ; a new methodology
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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface