Recovering the real-world density and liquidity premia from option data
Mathias Barkhagen; Jörgen Blomvall; Eckhard Platen
| Year of publication: |
2015
|
|---|---|
| Authors: | Barkhagen, Mathias ; Blomvall, Jörgen ; Platen, Eckhard |
| Publisher: |
Sydney : Quantitative Finance Research Centre, Univ. of Techn. |
| Subject: | Real-world density | Liquidity premia | Local volatility model | Non-parametric estimation | Simulated Maximum Likelihood | Volatilität | Volatility | Schätztheorie | Estimation theory | Liquidität | Liquidity | Statistische Verteilung | Statistical distribution | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics |