Dynamics of state price densities

DOI10.1016/j.jeconom.2009.01.005zbMath1429.62470OpenAlexW2073874583MaRDI QIDQ302157

Zdeněk Hlávka, Wolfgang Karl Härdle

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.01.005

zbMATH Keywords

option pricingnonlinear least squaresconstrained estimationstate price density

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Shape Constrained Regression in Sobolev Spaces with Application to Option Pricing ⋮ A new representation of the risk-neutral distribution and its applications ⋮ Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints ⋮ Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method ⋮ Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set ⋮ State price densities implied from weather derivatives ⋮ Likelihood-based scoring rules for comparing density forecasts in tails ⋮ Nonparametric filtering of conditional state-price densities ⋮ Editorial to the special issue on applicable semiparametrics of computational statistics ⋮ Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Cites Work

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• Nonparametric state price density estimation using constrained least squares and the bootstrap
• Martingales and stochastic integrals in the theory of continuous trading
• Nonparametric option pricing under shape restrictions
• Estimation of risk-neutral densities using positive convolution approximation
• Nonparametric risk management and implied risk aversion
• Semiparametric modeling of implied volatility.
• Approximation Theorems of Mathematical Statistics
• Application of Extended Kalman Filter to SPD Estimation
• Expensive martingales
• Do option markets correctly price the probabilities of movement of the underlying asset?

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