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Estimation of Risk-Neutral Density Surfaces [PDF]
Computational Management Science, 2010 Option price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for ...
A. M. Monteiro +2 more
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Asymptotic Expansion of Risk-Neutral Pricing Density [PDF]
International Journal of Financial Studies, 2018 A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary.
Thomas Mazzoni
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Interhemispheric Asymmetry in the High‐Latitude Neutral Density Variations During the 13–14 March 2022 Storm [PDF]
Space WeatherDuring the second recovery phase of the 13–14 March 2022 storm, intense high‐latitude neutral mass density spikes are detected by satellites at ∼500 km in both hemispheres.
Qingyu Zhu +3 more
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Frontiers in Astronomy and Space Sciences, 2022 During geomagnetic storms a large amount of energy is transferred into the ionosphere-thermosphere (IT) system, leading to local and global changes in e.g., the dynamics, composition, and neutral density.
Astrid Maute +5 more
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Drag Coefficient Constraints for Space Weather Observations in the Upper Thermosphere
Space Weather, 2022 The space weather research community relies heavily on thermospheric density data to understand long‐term thermospheric variability, construct assimilative, empirical, and semiempirical global atmospheric models and validate model performance. One of the
Valerie Bernstein, Marcin Pilinski
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Storm time neutral density assimilation in the thermosphere ionosphere with TIDA
Journal of Space Weather and Space Climate, 2022 To improve Thermosphere–Ionosphere modeling during disturbed conditions, data assimilation schemes that can account for the large and fast-moving gradients moving through the modeled domain are necessary.
Codrescu Mihail V. +2 more
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Uncertainty quantification of the DTM2020 thermosphere model
Journal of Space Weather and Space Climate, 2021 Aims: The semi-empirical Drag Temperature Models (DTM) calculate the Earth’s upper atmosphere’s temperature, density, and composition. They were applied mainly for spacecraft orbit computation.
Boniface Claude, Bruinsma Sean
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Space Weather, 2023 We examine the accuracy of density prediction by the first principles model Thermosphere Ionosphere Electrodynamics General Circulation Model (TIEGCM) developed by the National Center for Atmospheric Research and compare it to the accuracy of three ...
R. L. Walterscheid +5 more
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Remote Sensing, 2022 One of the most important parameters in the atmosphere, the neutral temperature, becomes difficult to measure at high altitudes such as the exosphere. Therefore, based on the assumption of static equilibrium and isothermal atmosphere, a new method was ...
Yingyun Lin +3 more
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Nonparametric Estimation of Risk-Neutral Densities [PDF]
SSRN Electronic Journal, 2010 This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density.
Maria Grith +2 more
openaire +2 more sources