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

DOI10.1080/14697688.2011.586355zbMath1280.91169MaRDI 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

zbMATH Keywords

option pricing; goodness-of-fit tests; inverse theory; parameter estimation techniques; risk neutral distributions

Mathematics Subject Classification ID

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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