Sieve estimation of state price density implied by option prices
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Updated
Apr 8, 2022
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state-price-density
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Implementation of Black Scholes & State Price Density for Option Pricing in Python
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Updated
Jul 23, 2020 - Jupyter Notebook
A Python library for pricing options under various risk-neutral density assumptions, computing option-implied densities, and extracting model parameters from market data.
option-pricing asset-pricing black-scholes implied-volatility american-option risk-neutral-probability state-price-density risk-neutral edgeworth-expansion mixtrure-of-lognormal density-extraction
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Updated
May 30, 2025 - Python
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