PavanAnanthSharma / Breeden-Litzenberger-formula-for-risk-neutral-densitiesView external linksLinks
The Breeden-Litzenberger formula, proposed by Douglas T. Breeden and Robert H. Litzenberger in 1978, is a method used to extract the implied risk-neutral probability density function from observed option prices
☆24Nov 23, 2023Updated 2 years ago
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