2 papers
q-fin.CP2026
One Other Option Pricing Scheme
Jimin Lin
We present a distinctive approach to parameterizing the risk neutral distribution. Using parsimonious and interpretable parameters, the model provides direct and localized control…
q-fin.CP2026
Shallow Representation of Option Implied Information
Jimin Lin
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the…