Detecting political event risk in the option market

A Kostakis, L Mu, Y Otsubo - Journal of Banking & Finance, 2023 - Elsevier
This study shows that the option market can ex ante detect and quantify the effects of
political event risk. Focussing on the 2016 UK referendum on EU membership, we find that …

[HTML][HTML] Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures

Y Li, I Nolte, MC Pham - Journal of Econometrics, 2024 - Elsevier
This paper proposes a new parametric risk-neutral density (RND) estimator based on a finite
lognormal-Weibull mixture (LWM) density. We establish the consistency and asymptotic …