ARIMA-Black-Scholes: Semi-Parametric Market price of risk for Risk-Neutral Pricing (code + preprint)
R-bloggers 2025-12-08
Summary:
The post demonstrates a semi-parametric approach using ARIMA models to extract the market price of risk from physical stock price simulations and transform them into risk-neutral paths for option pricing.
Continue reading: ARIMA-Black-Scholes: Semi-Parametric Market price of risk for Risk-Neutral Pricing (code + preprint)