Risk-Neutral Density Recovery via Spectral Analysis (Q2873144)

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Risk-Neutral Density Recovery via Spectral Analysis
scientific article

    Statements

    title
    Risk-Neutral Density Recovery via Spectral Analysis (English)
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    publication date
    23 January 2014
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    zbMATH Keywords
    risk-neutral density
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    nonparametric estimation
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    singular value decomposition
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    spectral analysis
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    quadratic programming
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    Identifiers

    DOI
    10.1137/110840340
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    Mathematics Subject Classification ID
    91G70
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    91G80
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    45Q05
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    62G05
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    62M15
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    zbMATH DE Number
    6249476
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    OpenAlex ID
    W2048336003
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    arXiv ID
    1302.2567
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