Risk-neutral densities: A review
S Figlewski - Annual Review of Financial Economics, 2018 - annualreviews.org
Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …
researcher to extract the market's risk-neutral density (RND) over the underlying price at …
Parsimonious Generative Machine Learning for Non-Gaussian Tail Modeling and Risk-Neutral Distribution Extraction
In financial modeling problems, non-Gaussian tails exist widely in many circumstances.
Among them, the accurate estimation of risk-neutral distribution (RND) from option prices is …
Among them, the accurate estimation of risk-neutral distribution (RND) from option prices is …
Crash risk and risk neutral densities
RR Chen, P Hsieh, J Huang - Journal of Empirical Finance, 2018 - Elsevier
Highlights•A new and easier approach to estimate the risk neutral higher order moments is
proposed.•Risk neutral densities contain the information of future Macro-economic …
proposed.•Risk neutral densities contain the information of future Macro-economic …
Arbitrage‐free call option surface construction using regression splines
G Orosi - Applied Stochastic Models in Business and Industry, 2015 - Wiley Online Library
In this work, we suggest a novel quadratic programming‐based algorithm to generate an
arbitrage‐free call option surface. The empirical performance of the proposed method is …
arbitrage‐free call option surface. The empirical performance of the proposed method is …
Equity option implied probability of default and equity recovery rate
There is a close link between prices of equity options and the default probability of a firm. We
show that in the presence of positive expected equity recovery, standard methods that …
show that in the presence of positive expected equity recovery, standard methods that …
An interpolation-based approach to American put option pricing
G Orosi - … Across Contemporary Sciences: AUS-ICMS, Sharjah …, 2017 - Springer
In this paper, we discuss how to construct interpolation-based models for American put
options. In particular, we derive a closed-form expression and suggest multi-parameter …
options. In particular, we derive a closed-form expression and suggest multi-parameter …
Techniques for analysing and reconciling the progressive mineral taxation regime of Papua New Guinea
KK Ail - 2018 - espace.curtin.edu.au
The study investigated how progressive tax instruments behave to raise revenues from the
mining industry without distorting the investment decision-making. The study used real …
mining industry without distorting the investment decision-making. The study used real …
Option pricing via breakeven volatility
B Hull, A Li, X Qiao - Financial Analysts Journal, 2023 - Taylor & Francis
The fair value of an option is given by breakeven volatility, the value of implied volatility that
sets the profit and loss of a delta-hedged option to zero. We calculate breakeven volatility for …
sets the profit and loss of a delta-hedged option to zero. We calculate breakeven volatility for …
Closed-form interpolation-based formulas for European call options written on defaultable assets
G Orosi - Journal of Asset Management, 2015 - Springer
In this article, we derive closed-form, interpolation-based expressions for European call
options written on defaultable assets. Our results are based on the work of Henderson et al …
options written on defaultable assets. Our results are based on the work of Henderson et al …
[HTML][HTML] Improved lower bounds of call options written on defaultable assets
G Orosi - Journal of Derivatives & Hedge Funds, 2014 - Springer
This article provides an improvedmodel-independent lower bound of European call options
written on defaultable assets. On the basis of static arbitrage arguments, improved lower …
written on defaultable assets. On the basis of static arbitrage arguments, improved lower …