Estimation of risk-neutral densities using positive convolution approximation
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Cites work
- scientific article; zbMATH DE number 837911 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Nonparametric option pricing under shape restrictions
- Nonparametric risk management and implied risk aversion
- Options and Efficiency
- Pricing and hedging derivative securities with neural networks and a homogeneity hint
- The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions
- The pricing of options and corporate liabilities
Cited in
(36)- Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Estimation of risk-neutral density surfaces
- Variance trading and market price of variance risk
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- Shape-preserving interpolation and smoothing for options market implied volatility
- Sieve estimation of option-implied state price density
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- Estimating risk-neutral density with parametric models in interest rate markets
- Nonparametric estimation of risk-neutral densities
- Variance swaps on defaultable assets and market implied time-changes
- Parametric estimation of risk neutral density functions
- Implied value-at-risk and model-free simulation
- Functional linear regression with functional response
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- 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 model-free approach to multivariate option pricing
- Option augmented density forecasts of market returns with monotone pricing kernel
- Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence
- A new representation of the risk-neutral distribution and its applications
- VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
- The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index
- Index options and volatility derivatives in a Gaussian random field risk-neutral density model
- Dynamics of state price densities
- Rearrangement algorithm and maximum entropy
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
- COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
- Recovering implied risk-neutral probability density function using SVR
- Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
- Shape constrained risk-neutral density estimation by support vector regression
- Algorithms for finding copulas minimizing convex functions of sums
- The risk premium that never was: a fair value explanation of the volatility spread
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
- Risk-neutral density recovery via spectral analysis
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions
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