Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints

DOI10.1007/s11147-019-09156-xzbMath1437.91433OpenAlexW2923974718WikidataQ128182352 ScholiaQ128182352MaRDI QIDQ2180297

Yanyan Li

Publication date: 13 May 2020

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/87206

zbMATH Keywords

risk-neutral densityoption priceslocal polynomialskernel functionsno-arbitrage constraints

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method

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