Conditional Risk

Necessary option information: Spot price, implied volatility, strike, interest rate, dividend, maturity, Call/put identifier, ask, bid

• Risk-neutral distribution:

  • Fast and stable method (Jackwerth, 2004)

  • Estimated risk-neutral distributions (period Jan. 1996 - Dec. 2015)

• Generalized Recovery:

  • Piecewise linear pricing kernel

  • Polynomial pricing kernel