Natural Cubic Spline Approximation of Risk-Neutral Density
The risk-neutral density is a fundamental concept in pricing financial derivatives, risk management, and assessing financial markets’ perceptions over significant political or economic events. In this paper, we propose a new nonparametric method for estimating the risk-neutral density using natural...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-12-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/12/4/127 |
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