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"Recovering risk-neutral probability density functions from options prices ..."

Ana Margarida Monteiro, Reha H. Tütüncü, Luís Nunes Vicente (2008)

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DOI: 10.1016/J.EJOR.2007.02.041

access: closed

type: Journal Article

metadata version: 2020-03-27

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Ana Margarida Monteiro, Reha H. Tütüncü, Luís Nunes Vicente:
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity. Eur. J. Oper. Res. 187(2): 525-542 (2008)

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