A robust method to retrieve option implied risk neutral densities for defaultable assets
Risk neutral densities recovered from option prices can be used to infer market participants' expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature on the subject, most studies do not address the likelihood of default...
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| Format: | article |
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2016
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| Online Access: | http://hdl.handle.net/11073/16664 |
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