A probability density function (PDF) describes the likelihood of different outcomes for a continuous random variable.

Leonard Fortuin, Five Popular Probability Density Functions: A Comparison in the Field of Stock-Control Models, The Journal of the Operational Research Society, Vol. 31, No. 10 (Oct., 1980), pp.

We propose a method for reconstructing a probability density function (pdf) from a sample of an n-dimensional probability distribution. The method works by iteratively applying some simple ...

We develop a general method for estimating the implied, martingale equivalent, probability density function (PDF) for futures prices from American options prices. The early exercise feature of ...

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for ...