Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
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Cites work
- Applications of second-order cone programming
- Arbitrage opportunities on derivatives: a linear programming approach
- Density functionals, with an option-pricing application
- Estimation of risk-neutral densities using positive convolution approximation
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Solving semidefinite-quadratic-linear programs using SDPT3
- The pricing of options and corporate liabilities
Cited in
(26)- Estimation of risk-neutral densities using positive convolution approximation
- Shape constrained risk-neutral density estimation by support vector regression
- On constrained smoothing and out-of-range prediction using P-splines: a conic optimization approach
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data
- 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
- Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
- Parametric modeling of implied smile functions: a generalized SVI model
- Spiral transitions
- Risk-neutral density recovery via spectral analysis
- Determining and benchmarking risk neutral distributions implied from option prices
- Recovering implied risk-neutral probability density function using SVR
- COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
- scientific article; zbMATH DE number 1114380 (Why is no real title available?)
- Index options and volatility derivatives in a Gaussian random field risk-neutral density model
- Modeling probability densities with sums of exponentials via polynomial approximation
- A new representation of the risk-neutral distribution and its applications
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions
- Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
- Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
- Convex Optimization Over Risk-Neutral Probabilities
- Estimation of risk-neutral density surfaces
- The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index
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