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dc.contributor.authorTurinici, Gabriel
dc.date.accessioned2017-12-14T15:53:05Z
dc.date.available2017-12-14T15:53:05Z
dc.date.issued2009
dc.identifier.issn2501-1960
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17227
dc.language.isoenen
dc.subjectmathematical financeen
dc.subjectrisk neutral probability densityen
dc.subjectcalibrationen
dc.subject.ddc519en
dc.subject.classificationjelG.G1.G12en
dc.titleRobust recovery of the risk neutral probability density from option pricesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe present in this paper a robust numerical procedure that allows extracting the risk neutral probability density data from a set of quoted European option prices. The procedure does not use any specific evolution model for the underlying; the probability density is the solution of a fitting problem to which we add a penalty term to ensure smoothness of the result. We give some examples from FOREX markets.en
dc.relation.isversionofjnlnameAnnalele Stiinfice ale Universiatii "Alexandru Ioan Cuza" din Iasi
dc.relation.isversionofjnlvolLVIen
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2009
dc.relation.isversionofjnlpages197-201en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-10-24T08:06:28Z
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