Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Denis Belomestny, Wolfgang Karl Härdle, Ekaterina Krymova
| Year of publication: |
September 2017
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| Authors: | Belomestny, Denis ; Härdle, Wolfgang ; Krymova, Ekaterina |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 6, p. 1-21
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| Subject: | Pricing kernel | risk neutral density | ill-posed problems | Kullback-Leibler divergence | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Entropie | Entropy | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500418 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011734146