Central bank research hub - Papers by Tom Wagener
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Research hub papers by author Tom WagenerenExtracting risk neutral probability densities by fitting implied volatility smiles: Some methodological points and an application to the 3M Euribor futures option prices.
http://www.nationalbanken.dk/en/publications/Documents/2002/12/WP_9_2002.pdf
National Bank of Denmark (Danmarks Nationalbank) Working papers by Andersen, Allan Bødskov; Wagener, TomExtracting risk neutral probability densities by fitting implied volatility smiles: Some methodological points and an application to the 3M Euribor futures option prices.2004-04-08T18:58:00ZExtracting risk neutral probability densities by fitting implied volatility smiles: Some methodological points and an application to the 3M Euribor futures option prices.Abstracthttp://www.nationalbanken.dk/en/publications/Pages/2002/12/Some-methodological-points-and-an-application-to-the-3M-Euribor-futures-option-prices.aspxFull texthttp://www.nationalbanken.dk/en/publications/Documents/2002/12/WP_9_2002.pdfTom WagenerAllan Bødskov AndersenAndersen, Allan Bødskov; Wagener, Tom2002-12-20Danmarks Nationalbank Working PapersExtracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices
http://www.ecb.int/pub/pdf/scpwps/ecbwp198.pdf
European Central Bank Working papers by Allan Bodskov Andersen and Tom WagenerExtracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices2003-04-02T15:23:59ZExtracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option pricesECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp198.pdfTom WagenerAllan Bødskov AndersenAllan Bodskov Andersen and Tom Wagener2002-12European Central Bank Working Papers