Dynamics of state price densities
DOI10.1016/J.JECONOM.2009.01.005zbMATH Open1429.62470OpenAlexW2073874583MaRDI QIDQ302157FDOQ302157
Authors: Zdeňek Hlávka, Wolfgang K. 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
Recommendations
Density estimation (62G07) General nonlinear regression (62J02) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Expensive martingales
Cited In (23)
- Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
- On extracting information implied in options
- Application of Extended Kalman Filter to SPD Estimation
- Nonparametric state price density estimation using constrained least squares and the bootstrap
- Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
- Recovering the real-world density and liquidity premia from option data
- Nonparametric option pricing under shape restrictions
- Likelihood-based scoring rules for comparing density forecasts in tails
- Editorial to the special issue on applicable semiparametrics of computational statistics
- Fast algorithm for nonparametric arbitrage-free SPD estimation
- Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method
- Direct Semi-Parametric Estimation of the State Price Density Implied in Option Prices
- A new representation of the risk-neutral distribution and its applications
- Implied volatility and state price density estimation: arbitrage analysis
- Local polynomial estimation of SPDs with application to VaR models
- Shape constrained regression in Sobolev spaces with application to option pricing
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- State price densities implied from weather derivatives
- Nonparametric filtering of conditional state-price densities
- On the number of state variables in options pricing
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- State price density estimation via nonparametric mixtures
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
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