Nonparametric state price density estimation using constrained least squares and the bootstrap

DOI10.1016/j.jeconom.2005.06.031zbMath1345.62130MaRDI QIDQ275252

Wolfgang Karl Härdle, Adonis John Yatchew

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.031

zbMATH Keywords

bootstrap; options; state price density; nonparametric least squares

Mathematics Subject Classification ID

62G07: Density estimation

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91G20: Derivative securities (option pricing, hedging, etc.)

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