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Revealing the implied risk-neutral MGF from options: The wavelet method
Waveletanalysis Option pricing Laplace transform
2011/4/2
Options are believed to contain unique information on the risk-neutral moment generating function(MGF) or the risk-neutral probability density function(PDF) of the underlying asset. This paper applies...
Revealing the Implied Risk-neutral MGF with the Wavelet Method
Implied risk-neutral MGF wavelets options Black-Scholes model
2011/4/6
Options are believed to contain unique information about the risk- neutral moment generating function (MGF hereafter) or the risk-neutral probability density function (PDF hereafter). This paper appli...