Extracting risk neutral probablilty densities by fitting implied volatility smiles
Subtitle: some methodological points and an application to the 3m Euribor futures option prices
By: by Allan Bødskov Andersen and Tom Wagener
Contributors: Wagener, Tom; European Central Bank
Series: Working paper series / European Central Bank -- working paper no. 198; Working paper series (European Central Bank) -- working paper no. 198
Publisher: European Central Bank
Published: 2002
Place of publication: Frankfurt am Main, Germany
Language: eng
Notes: "December 2002."