Shape constrained risk-neutral density estimation by support vector regression

DOI10.1016/J.INS.2015.11.016MaRDI QIDQ1671251zbMATH OpenOpenAlexFDO

Authors Pengbo Feng, Chuangyin Dang

Publication date 6 September 2018

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2015.11.016

zbMATH Keywords

nonparametric estimationoption pricingrisk-neutral densitysupport vector regressionshape constraint

Mathematics Subject Classification ID

Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 823069 (Why is no real title available?)
• A weighted LS-SVM based learning system for time series forecasting
• An accelerated central cutting plane algorithm for linear semi-infinite programming
• Estimating GARCH models using support vector machines*
• Estimating interest rate curves by support vector regression
• Estimating risk-neutral density with parametric models in interest rate markets
• Estimation of risk-neutral densities using positive convolution approximation
• Incorporating prior knowledge in support vector regression
• Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
• Large scale kernel regression via linear programming
• Market timing with option-implied distributions: A forward-looking approach
• Mixtures of \(t\)-distributions for finance and forecasting
• Nonparametric option pricing under shape restrictions
• Nonparametric risk management and implied risk aversion
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Risk-neutral density recovery via spectral analysis

Cited in

(7)

• Estimation of risk-neutral densities using positive convolution approximation
• Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
• Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints
• Recovering implied risk-neutral probability density function using SVR
• A constrained least squares regression model
• Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
• Risk-neutral density recovery via spectral analysis

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