Estimation of risk-neutral density surfaces
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- Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
- Nonparametric estimation of risk-neutral densities
- Estimation of risk-neutral densities using positive convolution approximation
- Determining and benchmarking risk neutral distributions implied from option prices
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions
Cites work
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3069600 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Applications of second-order cone programming
- Arbitrage opportunities on derivatives: a linear programming approach
- Calibrating volatility surfaces via relative-entropy minimization
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- Estimation of risk-neutral densities using positive convolution approximation
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Reconstructing the unknown local volatility function
- Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
- Solving semidefinite-quadratic-linear programs using SDPT3
- The pricing of options and corporate liabilities
- Two singular diffusion problems
Cited in
(21)- Fixing risk neutral risk measures
- A class of risk neutral densities with heavy tails
- Comparison of methods to estimate option implied risk-neutral densities
- \(\ell_1\)-constrained implied transition densities
- Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
- scientific article; zbMATH DE number 5114923 (Why is no real title available?)
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Dynamic semiparametric factor models in risk neutral density estimation
- Nonparametric estimation of risk-neutral densities
- A new representation of the risk-neutral distribution and its applications
- Risk neutrality regions
- Estimating risk-neutral density with parametric models in interest rate markets
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
- Estimation of risk-neutral densities using positive convolution approximation
- Density functionals, with an option-pricing application
- Parametric estimation of risk neutral density functions
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index
- Shape constrained risk-neutral density estimation by support vector regression
- Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia*
- Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
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