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pro vyhledávání: '"Xian, Zhonghao"'
We present a functional generative approach to extract risk-neutral densities from market prices of options. Specifically, we model the log-returns on the time-to-maturity continuum as a stochastic curve driven by standard normal. We then use neural
Externí odkaz:
http://arxiv.org/abs/2405.17770
In financial modeling problems, non-Gaussian tails exist widely in many circumstances. Among them, the accurate estimation of risk-neutral distribution (RND) from option prices is of great importance for researchers and practitioners. A precise RND c
Externí odkaz:
http://arxiv.org/abs/2402.14368