Extracting risk-neutral densities from option prices using mixture binomial trees.

Christian D. Pirkner Andreas S. Weigend Heinz Zimmermann

Published in: CIFEr (1999)

Keyphrases

risk neutral
risk averse
gaussian densities
risk aversion
probability distribution
risk sensitive
decision trees
utility function
long run
payoff functions
probabilistic model
evolutionary algorithm
graphical models
random variables
monte carlo
stochastic programming