This paper establishes a novel model-free representation of the risk-neutral density in terms
of market-observed options prices by combining exact series representations of the Dirac …

This paper develops analytical approximations for volatility index (VIX) option pricing under
nonaffine generalized autoregressive conditional heteroskedasticity (GARCH) models as …

Based on an analysis of the China 50 ETF options and their underlying assets, we measure
the empirical pricing kernel and implied risk aversion. By employing a Markov-switching …

In this work we derive new closed-form pricing formulas for VIX options in the jump-diffusion
SVJJ model proposed by Duffie et al.[Econometrica, 2000, 68, 1343–1376]. Our approach is …

Implicit in interest rate derivatives are Arrow–Debreu prices (or state price densities, SPDs)
that contain funda-mental information for risk and portfolio management in interest rate …

The precise calculation of risk-neutral probability density plays a pivotal role in modeling
and forecasting European put and call options, holding significant importance. The Burr-XII …

This paper introduces a new computational tool for the analysis of the risks embedded in a
set of prices of European-style options. The software enables the estimation of the risk …

The risk neutral densities is an important tool for analysing the dynamics of financial markets
and traders' attitudes and reactions to already experienced shocks by financial markets as …

Implicit in interest rate derivatives are Arrow–Debreu prices (or state price densities, SPDs)
that contain fundamental information for risk and portfolio management in interest rate …

We present a model for direct semi-parametric estimation of the state price density (SPD)
implied by quoted option prices. We treat the observed prices as expected values of …