Carfora, Emanuela (A.A. 2023/2024) Parametric and non-parametric estimation of option-implied risk-neutral densities. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 66. [Master's Degree Thesis]

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Abstract/Index

Risk-neutral densities. Elements of probability theory. Elements of stochastic calculus. Arbitrage theory. Arrow-Debreu securities and risk neutral densities. Foundations of option markets. Extracting risk-neutral densities from option prices. The Black-Scholes model. The Heston model. Breeden-Lichtenberger approach. Orthogonal polynomial expansions. Empirical application-S&P 500 options. Dataset description and manipulation. Analysis of empirical results.

References

Bibliografia: pp. 61-63.

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:	Econometric theory
Thesis Supervisor:	Santucci de Magistris, Paolo
Thesis Co-Supervisor:	Morelli, Marco
Academic Year:	2023/2024
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	22 May 2025 14:23
Last Modified:	22 May 2025 14:23
URI:	https://tesi.luiss.it/id/eprint/42219

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