Estimation of asset distributions from option prices: analysis and regularization

DOI10.1137/100813245MaRDI QIDQ4902219zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

density estimationEuropean optionsTikhonov regularizationconvex dualitymaximum entropyL-curve method

Mathematics Subject Classification ID

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)

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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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