Treffer: Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
Title:
Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
Authors:
Source:
Proceedings of the International Conference on Computational Methods in Sciences and Engineering 2004Mathematical and computer modelling. 46(1-2):225-234
Publisher Information:
Oxford: Elsevier Science, 2007.
Publication Year:
2007
Physical Description:
print, 21 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Fonctions d'une variable complexe, Functions of a complex variable, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Méthodes de calcul scientifique (y compris calcul symbolique, calcul algébrique), Methods of scientific computing (including symbolic computation, algebraic computation), Analyse assistée, Computer aided analysis, Análisis asistido, Calcul scientifique, Scientific computation, Computación científica, Développement série, Series expansion, Desarrollo serie, Fonction densité, Density function, Función densidad, Fonction répartition, Distribution function, Función distribución, Loi normale, Gaussian distribution, Curva Gauss, Loi probabilité, Probability distribution, Ley probabilidad, Mathématiques appliquées, Applied mathematics, Matemáticas aplicadas, Modèle mathématique, Mathematical model, Modelo matemático, 30Bxx, Gram-Charlier expansion, Risk neutral density, Risk neutral moments
Document Type:
Konferenz
Conference Paper
File Description:
text
Language:
English
Author Affiliations:
Department of Accounting and Finance, Athens University of Economics and Business, Greece
Department of Economics, Queen Mary University of London, United Kingdom
Department of Economics, Queen Mary University of London, United Kingdom
ISSN:
0895-7177
Rights:
Copyright 2007 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.18794181
Database:
PASCAL Archive
Weitere Informationen
In this paper we employ a new method to retrieve the risk neutral probability density function of future asset prices, or their implied log-returns, based on an exponential form of a Gram-Charlier series expansion, known as C-type. This type of expansion guarantees that the values of the risk neutral density will be always positive and it can account for strong deviations of the stock price distributions from the Gaussian. In a set of numerical and empirical applications, the paper shows the accuracy and versatility of the method for recovering the true risk neutral density.