We propose a completely kernel based method of estimating the call price function or the state price density of options. The new estimator of the call price function fulfills the constraints like monotonicity and convexity given in Breeden and Litzenberger (1978) without necessarily estimating...

In this paper, a method for estimating monotone, convex and log-concave densities is proposed. The estimation procedure consists of an unconstrained kernel estimator which is modi?ed in a second step with respect to the desired shape constraint by using monotone rearrangements. It is shown that...

In this paper, a method for estimating monotone, convex and log-concave densities is proposed. The estimation procedure consists of an unconstrained kernel estimator which is modi?ed in a second step with respect to the desired shape constraint by using monotone rearrangements. It is shown that...