Estimating the Implied Risk Neutral Distribution from Option Market Prices

Aas, Kjersti

August 31, 2009

SAMBA

• Areas: Finance, insurance and commodity market
• Keywords: Implied volatility, market, options, extreme value theory, risk neutral, probability distribution
• Page(s): 20
• Name and number of project: 220439
• Title: Estimating the Implied Risk Neutral Distribution from Option Market Prices
• Author(s): Aas, Kjersti
• Report number: SAMBA/27/09
• Published date: August 31, 2009