Risk-Neutral Density Estimation: Looking at the Tails
M Reinke - Journal of Derivatives, 2020 - search.proquest.com
Previous estimation results of risk-neutral densities explain in rather general terms that the
tails of the resulting distribution “look fat,” and a way has to be found to model the tails of the …
tails of the resulting distribution “look fat,” and a way has to be found to model the tails of the …
[PDF][PDF] Measuring information flows in option markets: a relative entropy approach
In this paper, we propose a methodology for measuring the information flows that underpin
option price movements and for analyzing the distribution of these flows. We develop a …
option price movements and for analyzing the distribution of these flows. We develop a …
A Unified Market Model for Swaptions and Constant Maturity Swaps
CW Tee, J Kerkhof - International Journal of Theoretical and Applied …, 2021 - World Scientific
Internal-rate-of-return (IRR) settled swaptions are the main interest rate volatility instruments
in the European interest rate markets. Industry practice is to use an approximation formula to …
in the European interest rate markets. Industry practice is to use an approximation formula to …