Arbitrage-free estimation of the risk-neutral density from the implied volatility smile
By Bernhard Brunner, R. Hafner. 2002
72 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/851c1eb98efe2ec6d570124c000702d1261536df
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Joshua D. Coval
- Erik Stafford
- Jakub Jurek
- Matthias R. Fengler
- Pepa Kraft
- David S. Bates
- Anjan V. Thakor
- Avanidhar Subrahmanyam
In Finance
- Joshua D. Coval
- Erik Stafford
- Jakub Jurek
- Matthias R. Fengler
- Darrell Duffie
- Dong Lou
- Pepa Kraft
- Avanidhar Subrahmanyam
Citations in the corpus
- Economic Catastrophe Bonds (2009, methodology): “This procedure pins down the optimal parameter values for the proposed speci cation, allowing us to extrapolate the implied volatility on the entire grid of m , and compute a complete set of Arrow-Debreu state prices from (17) for use in valuation.”
- Arbitrage-free smoothing of the implied volatility surface (2009, methodology): “This can be seen by computing equation ( 5 ) explicitly, using the BS formula and assuming a strike-dependent implied volatility function, see Brunner and Hafner ( 2003 ) and Benko et al .”