arXiv q-fin· Lennon J. Shikhman, Michael Galarnyk, Aadi Dash, Nicholas A. Welsh·· 2 days agoAI Score53
Research on Inferring Implied Risk-Neutral Density from Irregular Option Quotes
Inverse Learning of Latent Risk-Neutral Densities from Irregular Option Quotes
AI summary
Published at ICAIF 2026, this study finds that accurate option prices do not necessarily mean accurate recovery of the underlying risk-neutral density. By comparing synthetic simulation benchmarks with out-of-sample NIFTY option benchmarks, the research reveals that the two-component lognormal mixture model demonstrates overall pricing performance on synthetic benchmarks.
Source:arXiv q-fin · arxiv.org
Options and VolatilityMachine LearningPaper Research#Papers / Research#Options#Machine Learning#Volatility#arXiv