Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
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Publication:5247239
DOI10.1080/14697688.2012.742202zbMath1402.91796MaRDI QIDQ5247239
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
90C25: Convex programming
91G20: Derivative securities (option pricing, hedging, etc.)
41A15: Spline approximation
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Cites Work
- Estimation of risk-neutral densities using positive convolution approximation
- Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
- Arbitrage-free smoothing of the implied volatility surface
- Options and Efficiency
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions
- On Information and Sufficiency