Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market

DOI10.1080/14697688.2011.586355MaRDI QIDQ5745649zbMATH OpenOpenAlexFDO

Authors Yijun Du, Chen Wang, Yibing du

Publication date 30 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2011.586355

zbMATH Keywords

option pricinggoodness-of-fit testsinverse theoryparameter estimation techniquesrisk neutral distributions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3980383 (Why is no real title available?)
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• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Calibrating volatility surfaces via relative-entropy minimization
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• Computing the implied volatility in stochastic volatility models
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• Inner, outer, and generalized inverses in banach and hilbert spaces
• Rank-Deficient and Discrete Ill-Posed Problems
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• The inverse problem of option pricing
• The mathematics of computerized tomography
• The pricing of options and corporate liabilities
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• Well-posed stochastic extensions of ill-posed linear problems

Cited in

(3)

• Sieve estimation of option-implied state price density
• Recovering implied risk-neutral probability density function using SVR
• Shape constrained risk-neutral density estimation by support vector regression

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