Option implied risk-neutral density estimation : a robust and flexible method
Arindam Kundu, Sumit Kumar, Nutan Kumar Tomar
| Year of publication: |
2019
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|---|---|
| Authors: | Kundu, Arindam ; Kumar, Sumit ; Tomar, Nutan Kumar |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 2, p. 705-728
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| Subject: | Bernstein polynomial | Finite dimensional constrained least squares | Monte-Carlo simulation | Nonparametric methods | Option pricing | Risk-neutral density | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Simulation | Optionsgeschäft | Option trading | Kleinste-Quadrate-Methode | Least squares method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9846-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134345