Nov 5, 2022 · We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset.
Nov 8, 2021 · We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset.
Nov 5, 2022 · We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset.
We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset.
Nov 11, 2022 · We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset.
4 days ago · Abstract. We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this ...
We propose a novel model-free approach for extracting the risk-neutral quan- tile function of an asset using options written on this asset.
We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset.
Oct 22, 2024 · The Black-Scholes* option pricing model is commonly applied to value a wide range of option contracts. However, the model often inconsistently ...
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We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. The price changes of options are ...