Reading the smile: the message conveyed by methods which infer risk neutral densities

104 citations recorded by the source corpus.

Citations in the corpus

Modelling the Implied Probability of Stock Market Movements (2003, unknown): “See also Jondeau and Rockinger (2000), Coutant et al. (2001), Weinberg (2001) or Galati and Melick (2002).”
Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, unknown): “…and Whaley (1998), Ghysels, Patilea, Renault and Torrès (1997), Melick and Thomas (1997), Ait-Sahalia and Lo (1998), Bakshi and Madan (2000), Jondeau and Rockinger (2000), Campbell and Li (2002), Cont and da Fonseca (2002), Duan (2002), Ait-Sahalia and Duarte (2003), Carr and Wu (2003),…”
Estimating option implied risk‐neutral densities using spline and hypergeometric functions (2007, unknown): “Jackwerth (1999), Jondeau and Rockinger (2000) and Bliss and Panigirtzoglou (2002) provide excellent surveys of existing methods.”
Closed-form transformations from risk-neutral to real-world distributions (2007, unknown): “of continuous -time price processes when volatility is stochastic [Bates (2000), Jondeau and Rockinger (2000) ].”
Option-Implied Risk-Neutral Distributions and Risk Aversion (2004, unknown): “Some of these works are the papers by Jorion (1995), Christensen and Prabhala (1998), Carverhill and Dyrting (2000), Fleming (1998), Blair, Poon, and Taylor (2001), and De Jong and Lehnert (2001).”