Neural network-based estimation of the option-implied risk-neutral density
Viscillo, Pierluigi (A.A. 2022/2023) Neural network-based estimation of the option-implied risk-neutral density. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Giacomo Morelli, pp. 77. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Theoretical framework. Risk-neutral pricing. Arrow securities. Continuous time. Black-scholes-merton risk neutral valuation. Option-implied risk neutral density. Methodology. Implied volatility. Artificial neural network. Simulation. Moments. Heston model. Bates model. Empirical study. RND estimation methods. Discretization schemes.
References
Bibliografia: pp. 62-65.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Patnaik, Megha |
| Academic Year: | 2022/2023 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 May 2024 12:37 |
| Last Modified: | 24 May 2024 12:37 |
| URI: | https://tesi.luiss.it/id/eprint/38674 |
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