A model-free pipeline using iterative arbitrage removal and entropic smoothing to recover risk-neutral densities from short-dated option bid-ask quotes.
and Litzenberger, Robert H
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From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
A model-free pipeline using iterative arbitrage removal and entropic smoothing to recover risk-neutral densities from short-dated option bid-ask quotes.