Carrasco, Marine; Tsafack, Idriss - In: Essays in honor of Joon Y. Park : econometric …, (pp. 133-157). 2023
This chapter proposes a nonparametric estimator of the risk neutral density (RND) based on cross-sectional European option prices. The authors recast the arbitrage-free equation for option pricing as a functional linear regression model where the regressor is a curve and the independent variable...