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Mixture-of-Lognormal Risk-Neutral Density Estimation Revisited: Asymptotics, Analytical Derivatives, and the Mode Constraint (2021)

First Author: Li Y

Attributed to: Bilateral Austria: Order Book Foundations of Price Risks and Liquidity: An Integrated Equity and Derivatives Markets Perspective funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Publication URI: https://ssrn.com/abstract=3945540

Type: Working Paper