Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity (Q2463504)
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scientific article; zbMATH DE number 5219730
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| English | Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity |
scientific article; zbMATH DE number 5219730 |
Statements
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity (English)
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12 December 2007
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option pricing
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risk-neutral density estimation
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cubic splines
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quadratic programming
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semidefinite programming
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0.9201308
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0.8840703
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0.87171364
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0.8686673
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0.8667762
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0.86016285
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0.85697377
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