Open AccessA robust method to retrieve option implied risk neutral densities for defaultable assets
Author(s) -
Guillaume Leduc,
Greg Orosi
Publication year - 2016
Publication title -
international journal of financial markets and derivatives
Language(s) - English
Resource type - Journals
eISSN - 1756-7149
pISSN - 1756-7130
DOI - 10.1504/ijfmd.2016.081704
Subject(s) - risk neutral , econometrics , valuation of options , probability density function , computer science , stock (firearms) , asset (computer security) , economics , actuarial science , mathematics , statistics , computer security , engineering , mechanical engineering
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