Density functionals, with an option-pricing application

DOI10.1017/S0266466603195047zbMATH Open1441.62574OpenAlexW3123744952MaRDI QIDQ4561981FDOQ4561981

Authors: Karim M. Abadir, M. Rockinger 

Publication date: 14 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466603195047

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The pricing of options and corporate liabilities
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Cited In (7)

• Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
• Mixtures of \(t\)-distributions for finance and forecasting
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
• Parametric estimation of risk neutral density functions
• Parametric modeling of implied smile functions: a generalized SVI model
• State price densities implied from weather derivatives
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity

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