4 search results - page 1 / 1 » Risk-neutral compatibility with option prices |
WCE
2007
13 years 5 months ago
2007
Abstract—In this paper I use Monte Carlo simulated option data to investigate the empirical power of six Risk Neutral Density (RND) estimation techniques. Three alternative appro...
CORR
2007
Springer
13 years 4 months ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
FS
2010
13 years 3 months ago
2010
WINE
2005
Springer
13 years 10 months ago
2005
Springer
We present a mechanism for reservations of bursty resources that is both truthful and robust. It consists of option contracts whose pricing structure induces users to reveal the tr...