Option implied risk-neutral density estimation : a robust and flexible method
Year of publication: |
2019
|
---|---|
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
|
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 |
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