Estimation of risk-neutral density surfaces

DOI10.1007/s10287-010-0126-3zbMath1225.91064WikidataQ58040562 ScholiaQ58040562MaRDI QIDQ645506

Reha H. Tütüncü, Luis Nunes Vicente, Ana Margarida Monteiro

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

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

90C90: Applications of mathematical programming

91G20: Derivative securities (option pricing, hedging, etc.)

Uses Software

• SDPT3

Cites Work

• Solving semidefinite-quadratic-linear programs using SDPT3
• The Pricing of Options and Corporate Liabilities
• Applications of second-order cone programming
• Estimation of risk-neutral densities using positive convolution approximation
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Two singular diffusion problems
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Calibrating volatility surfaces via relative-entropy minimization
• Calibration of the local volatility in a trinomial tree using Tikhonov regularization
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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