Título:

Implied Risk Neutral Densities from Option Prices: Hypergeometric, Spline, Lognormal, and Edgeworth Functions

Autores:

Andre Santos (Portuguese Investment Bank)
Joao Guerra (U Lisboa, CEMAPRE - ISEG, UTL, ISEG, UTL)

Revista:

Journal of Futures Markets

Ano:

2015

Volume:

35

Número:

7

Páginas:

655-678

Códigos JEL:

F31 - Foreign Exchange
G15 - International Financial Markets
O16 - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
O19 - International Linkages to Development; Role of International Organizations