Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

It has been a while since the literature on the pricing kernel puzzle was summarized in
Jackwerth (Option-implied risk-neutral distributions and risk-aversion, The Research …

Investor sentiment, particularly fear sentiment, significantly influences financial markets by
increasing uncertainty and triggering extreme judgments during volatile periods. This study …

We introduce a new class of swap trading strategies in incomplete markets, which
disaggregate the tradeable compensation for time-varying nonlinear risks in aggregate …

The risk on financial markets drives the performance of stock market investments in a
national capital market, hence its interpretation in the minds of investors has a large …

We propose a novel model-free approach to obtain the joint risk-neutral distribution among
several assets that is consistent with options on these assets and their weighted index. We …