Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures

DOI10.1016/J.JECONOM.2024.105748MaRDI QIDQ6554222zbMATH OpenFDO

Authors Y. F. Li, Ingmar Nolte, Manh Cuong Pham

Publication date 12 June 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105748

zbMATH Keywords

mixture-of-distribution methodparametric modellingrisk-neutral density

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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