Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22049
Abstract: This article compares several widely used and recently developed methods to extract risk‐neutral densities (RNDs) from option prices in terms of estimation accuracy. It shows that the positive convolution approximation method consistently yields the most… read more here.
Keywords: monte carlo; risk neutral; neutral densities; carlo analysis ... See more keywords
Improving Neutral Density Predictions Using Exospheric Temperatures Calculated on a Geodesic, Polyhedral Grid
Sign Up to like & getrecommendations! Published in 2020 at "Space Weather"
DOI: 10.1029/2019sw002355
Abstract: A new model of exospheric temperatures has been developed, with the objective of predicting global values with greater spatial and temporal accuracy. From these temperatures, the neutral densities in the thermosphere can be calculated, through… read more here.
Keywords: polyhedral grid; exospheric temperatures; model; neutral densities ... See more keywords