Recovering implied minimum distance risk-neutral probability measures using GMD

DOI10.3969/J.ISSN.1001-0505.2011.01.041MaRDI QIDQ2886045zbMATH OpenFDO

Authors Hairong Cui, Xiaoping Hu

Publication date 1 June 2012

Published in Journal of Southeast University. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

minimum distanceGaussian mixture distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• scientific article; zbMATH DE number 1500698

Cited in

(2)

• Estimation of tail risk and moments using option prices with a novel pricing model under a distorted lognormal distribution
• Revealing the implied risk-neutral MGF from options: the wavelet method

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