Estimation of asset distributions from option prices: analysis and regularization (Q4902219)
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scientific article; zbMATH DE number 6130648
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| English | Estimation of asset distributions from option prices: analysis and regularization |
scientific article; zbMATH DE number 6130648 |
Statements
Estimation of Asset Distributions from Option Prices: Analysis and Regularization (English)
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25 January 2013
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density estimation
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Tikhonov regularization
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L-curve method
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convex duality
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maximum entropy
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European options
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0.783372700214386
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0.7830716371536255
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0.7687743306159973
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0.7684434056282043
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