Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity

DOI10.1016/j.ejor.2007.02.041zbMath1149.90114OpenAlexW2031732594WikidataQ58040593 ScholiaQ58040593MaRDI QIDQ2463504

Reha H. Tütüncü, Ana Margarida Monteiro, Luis Nunes Vicente

Publication date: 12 December 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/5476

zbMATH Keywords

quadratic programmingsemidefinite programmingoption pricingcubic splinesrisk-neutral density estimation

Mathematics Subject Classification ID

Semidefinite programming (90C22) Quadratic programming (90C20)

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Uses Software

• SDPT3

Cites Work

• Unnamed Item
• Solving semidefinite-quadratic-linear programs using SDPT3
• The Pricing of Options and Corporate Liabilities
• Applications of second-order cone programming
• Estimation of risk-neutral densities using positive convolution approximation
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION