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M. Magdalena Vich-Llompart

University of the Balearic Islands

Crtra. Valldemossa, km 7.5

Ed. Ramon Llull

Palma de Mallorca, Illles Balears 07122

Spain

  • University of the Balearic Islands

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Can We Really Discard the Forecasting Ability of Risk-Neutral Distributions?

Number of pages: 42 Posted: 20 Nov 2017
Antoni Vaello-Sebastià and M. Magdalena Vich-Llompart
University of the Balearic Islands and University of the Balearic Islands
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Abstract:

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Risk-Neutral Density; Options; Log-Normal Mixtures; Splines