Estimation of Asset Distributions from Option Prices: Analysis and Regularization

DOI10.1137/100813245zbMath1257.91050OpenAlexW1995143668MaRDI QIDQ4902219

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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

zbMATH Keywords

maximum entropyTikhonov regularizationconvex dualitydensity estimationEuropean optionsL-curve method

Mathematics Subject Classification ID

Density estimation (62G07) Numerical methods (including Monte Carlo methods) (91G60) Ill-posedness and regularization problems in numerical linear algebra (65F22) Numerical optimization and variational techniques (65K10) Portfolio theory (91G10)

Related Items (5)

Determining and benchmarking risk neutral distributions implied from option prices ⋮ A Family of Maximum Entropy Densities Matching Call Option Prices ⋮ Maximum entropy estimates for risk-neutral probability measures with non-strictly-convex data ⋮ A maximum entropy approach to loss distribution analysis ⋮ A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy

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