Recovering Risk Neutral Densities from Option Prices: A New Approach
提出一种基于C型Gram-Charlier级数展开的新方法，从期权价格近似风险中性密度，解决了传统A型展开可能产生负概率和无法处理强偏离正态性的缺陷，并通过模拟和实证验证其表现。
Abstract In this paper we present a new method of approximating the risk neutral density (RND) from option prices based on the C-type Gram-Charlier series expansion (GCSE) of a probability density function. The exponential form of this type of GCSE guarantees that it will always give positive values of the risk neutral probabilities, and it can allow for stronger deviations from normality, which are two drawbacks of the A-type GCSE used in practice. To evaluate the performance of the suggested expansion of the RND, the paper presents simulation and empirical evidence.