Browsing by Author "f780b2b5-9f06-4b8b-8039-1f9f1390d99c"
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A robust method to retrieve option implied risk neutral densities for defaultable assets
Leduc, Guillaume; Orosi, Gergely (Inderscience Publishers, 2016)Risk neutral densities recovered from option prices can be used to infer market participants' expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature ...