Recovering implied risk-neutral probability density function using SVR

MaRDI QIDQ3016950zbMATH OpenFDO

Authors Xiaoping Hu, Hairong Cui, Lihua Zhu, Xinyan Wang

Publication date 19 July 2011

zbMATH Keywords

implied risk-neutral probabilitylinear operator equationnonparametric methodsoption pricessupport vector regression

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric inference (62G99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05)

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(4)

• Shape constrained risk-neutral density estimation by support vector regression
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Risk-neutral density recovery via spectral analysis
• Estimating option implied risk‐neutral densities using spline and hypergeometric functions

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