Parametric estimation of risk neutral density functions

DOI10.1007/978-3-642-17254-0_10MaRDI QIDQ3112461zbMATH OpenOpenAlexFDO

Authors Maria Grith, Volker Krätschmer

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-045.pdf

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Estimating risk-neutral density with parametric models in interest rate markets
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 5287151 (Why is no real title available?)
• scientific article; zbMATH DE number 3437452 (Why is no real title available?)
• scientific article; zbMATH DE number 926840 (Why is no real title available?)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Option pricing when underlying stock returns are discontinuous
• Real Analysis and Probability
• Semiparametric modeling of implied volatility.
• Statistical Tools for Finance and Insurance
• Stochastic finance. An introduction in discrete time
• The mathematics of arbitrage
• The pricing of options and corporate liabilities

Cited in

(6)

• Shape constrained risk-neutral density estimation by support vector regression
• Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
• Nonparametric estimation of risk-neutral densities
• Estimating risk-neutral density with parametric models in interest rate markets
• Density functionals, with an option-pricing application
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility

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