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- scientific article; zbMATH DE number 46726 (Why is no real title available?)
- scientific article; zbMATH DE number 193111 (Why is no real title available?)
- scientific article; zbMATH DE number 1780443 (Why is no real title available?)
- scientific article; zbMATH DE number 3271181 (Why is no real title available?)
- Application of Extended Kalman Filter to SPD Estimation
- Approximation Theorems of Mathematical Statistics
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Estimation of risk-neutral densities using positive convolution approximation
- Expensive martingales
- Martingales and stochastic integrals in the theory of continuous trading
- Nonparametric option pricing under shape restrictions
- Nonparametric risk management and implied risk aversion
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Semiparametric modeling of implied volatility.
Cited in
(23)- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- Local polynomial estimation of SPDs with application to VaR models
- State price densities implied from weather derivatives
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- Application of Extended Kalman Filter to SPD Estimation
- Nonparametric filtering of conditional state-price densities
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Shape constrained regression in Sobolev spaces with application to option pricing
- Likelihood-based scoring rules for comparing density forecasts in tails
- Editorial to the special issue on applicable semiparametrics of computational statistics
- On the number of state variables in options pricing
- A new representation of the risk-neutral distribution and its applications
- State price density estimation via nonparametric mixtures
- Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
- Nonparametric option pricing under shape restrictions
- Recovering the real-world density and liquidity premia from option data
- Fast algorithm for nonparametric arbitrage-free SPD estimation
- Implied volatility and state price density estimation: arbitrage analysis
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- On extracting information implied in options
- Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method
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