Nonparametric state price density estimation using constrained least squares and the bootstrap
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Cites work
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Cited in
(30)- Nonparametric option pricing under shape restrictions
- Sieve estimation of option-implied state price density
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- Automatic identification of curve shapes with applications to ultrasonic vocalization
- Nonparametric filtering of conditional state-price densities
- A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Parametric modeling of implied smile functions: a generalized SVI model
- A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Dynamics of state price densities
- Option pricing with model-guided nonparametric methods
- Arbitrage-free smoothing of the implied volatility surface
- Representation theorem for convex nonparametric least squares
- Stationary bootstrap for kernel density estimators under -weak dependence
- Index options and volatility derivatives in a Gaussian random field risk-neutral density model
- Constrained option pricing with neural networks and isotonic regression
- State price densities implied from weather derivatives
- A new representation of the risk-neutral distribution and its applications
- Nonparametric estimates of option prices and related quantities
- Semi-parametric estimation of American option prices
- Shape constrained regression in Sobolev spaces with application to option pricing
- Nonparametric function estimation subject to monotonicity, convexity and other shape constraints
- Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
- Asymmetric short-rate model without lower bound
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Joint arbitrage-free smoothing of American call and put options surfaces
- State price density estimation via nonparametric mixtures
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