Estimation of risk-neutral density surfaces
DOI10.1007/S10287-010-0126-3zbMATH Open1225.91064DBLPjournals/cms/MonteiroTV11OpenAlexW1965591285WikidataQ58040562 ScholiaQ58040562MaRDI QIDQ645506FDOQ645506
Authors: Ana Margarida Monteiro, Reha H. Tütüncü, L. N. Vicente 
Publication date: 15 November 2011
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-010-0126-3
Recommendations
- Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
- Nonparametric estimation of risk-neutral densities
- Estimation of risk-neutral densities using positive convolution approximation
- Determining and benchmarking risk neutral distributions implied from option prices
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of mathematical programming (90C90) Statistical methods; risk measures (91G70)
Cites Work
- The pricing of options and corporate liabilities
- Solving semidefinite-quadratic-linear programs using SDPT3
- Two singular diffusion problems
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Applications of second-order cone programming
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
- Estimation of risk-neutral densities using positive convolution approximation
- Title not available (Why is that?)
- Reconstructing the unknown local volatility function
- Title not available (Why is that?)
- Calibrating volatility surfaces via relative-entropy minimization
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization
- Arbitrage opportunities on derivatives: a linear programming approach
Cited In (21)
- A class of risk neutral densities with heavy tails
- Comparison of methods to estimate option implied risk-neutral densities
- \(\ell_1\)-constrained implied transition densities
- Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
- Title not available (Why is that?)
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Dynamic semiparametric factor models in risk neutral density estimation
- Nonparametric estimation of risk-neutral densities
- A new representation of the risk-neutral distribution and its applications
- Estimating risk-neutral density with parametric models in interest rate markets
- Risk neutrality regions
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
- Estimation of risk-neutral densities using positive convolution approximation
- Density functionals, with an option-pricing application
- Parametric estimation of risk neutral density functions
- Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
- The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index
- Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia*
- Shape constrained risk-neutral density estimation by support vector regression
- Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
- Fixing risk neutral risk measures
Uses Software
This page was built for publication: Estimation of risk-neutral density surfaces
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q645506)
