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Article Dans Une Revue Sci. Ann. “Al I Cuza” Univ. Iasi – Eco Année : 2009

Robust recovery of the risk neutral probability density from option prices

Résumé

We present in this paper a robust numerical procedure that allows extracting the risk neutral probability density data from a set of quoted European option prices. The procedure does not use any specific evolution model for the underlying; the probability density is the solution of a fitting problem to which we add a penalty term to ensure smoothness of the result. We give some examples from FOREX markets.
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Dates et versions

hal-00467555 , version 1 (26-03-2010)

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  • HAL Id : hal-00467555 , version 1

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Gabriel Turinici. Robust recovery of the risk neutral probability density from option prices. Sci. Ann. “Al I Cuza” Univ. Iasi – Eco, 2009, LVI (1), pp.197-201. ⟨hal-00467555⟩
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