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

DOI10.1080/14697688.2011.586355zbMATH Open1280.91169OpenAlexW2071445757MaRDI QIDQ5745649FDOQ5745649

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

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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)

Cites Work

• The pricing of options and corporate liabilities
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• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• An inverse parabolic problem arising in finance

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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