Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
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Publication:5745649
DOI10.1080/14697688.2011.586355zbMath1280.91169MaRDI QIDQ5745649
Yibing du, Yijun Du, Chen Wang
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
option pricing; goodness-of-fit tests; inverse theory; parameter estimation techniques; risk neutral distributions
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Shape constrained risk-neutral density estimation by support vector regression, Sieve estimation of option-implied state price density
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