The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions

DOI10.2307/2171886MaRDI QIDQ4359772zbMATH OpenOpenAlexFDO

Authors Karim M. Abadir, M. Rockinger

Publication date 20 October 1997

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171886

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Cited in

(3)

• Estimation of risk-neutral densities using positive convolution approximation
• Nonparametric estimation of American options' exercise boundaries and call prices
• The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending

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