Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints

DOI10.1007/S11147-019-09156-XzbMath1437.91433OpenAlexW2923974718WikidataQ128182352 ScholiaQ128182352MaRDI QIDQ2180297

Yanyan Li

Publication date: 13 May 2020

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/87206

zbMATH Keywords

risk-neutral densityoption priceslocal polynomialskernel functionsno-arbitrage constraints

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method ⋮ Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric state price density estimation using constrained least squares and the bootstrap
• Dynamics of state price densities
• A tale of two option markets: pricing kernels and volatility risk
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Bootstrap procedures under some non-i.i.d. models
• Theoretical comparison of bootstrap confidence intervals
• Rate of convergence for the wild bootstrap in nonparametric regression
• Nonparametric option pricing under shape restrictions
• Bootstrap confidence intervals. With comments and a rejoinder by the authors
• Jackknife, bootstrap and other resampling methods in regression analysis
• Nonparametric risk management and implied risk aversion
• Bootstrap simultaneous error bars for nonparametric regression
• Nonparametric filtering of conditional state-price densities
• Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
• Bootstrapping in Nonparametric Regression: Local Adaptive Smoothing and Confidence Bands
• Semiparametric Regression for the Applied Econometrician
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Do option markets correctly price the probabilities of movement of the underlying asset?

This page was built for publication: Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints