Estimation of asset distributions from option prices: analysis and regularization
DOI10.1137/100813245zbMATH Open1257.91050OpenAlexW1995143668MaRDI QIDQ4902219FDOQ4902219
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Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/f993734f84a90255b957e524ca0dd75f8a31159c
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density estimationEuropean optionsTikhonov regularizationconvex dualitymaximum entropyL-curve method
Density estimation (62G07) Numerical optimization and variational techniques (65K10) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Ill-posedness and regularization problems in numerical linear algebra (65F22)
Cited In (7)
- A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
- Determining and benchmarking risk neutral distributions implied from option prices
- A maximum entropy approach to loss distribution analysis
- Analytic valuation of GMDB options with utility based asset allocation
- DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
- Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data
- A Family of Maximum Entropy Densities Matching Call Option Prices
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