Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails

DOI10.1080/14697688.2012.742202zbMATH Open1402.91796OpenAlexW2075384759MaRDI QIDQ5247239FDOQ5247239

Authors: Seung-Hwan Lee 

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.742202

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zbMATH Keywords

optimizationoption pricingnumerical methodrisk neutral distribution

Mathematics Subject Classification ID

Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20) Spline approximation (41A15)

Cites Work

• On Information and Sufficiency
• Options and Efficiency
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Arbitrage-free smoothing of the implied volatility surface
• Estimating option implied risk‐neutral densities using spline and hypergeometric functions
• Estimation of risk-neutral densities using positive convolution approximation

Cited In (2)

• \(\ell_1\)-constrained implied transition densities
• Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach

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