Similar Search Results

Robust estimation of shape-constrained state price density surfaces

Ludwig, Markus - In: The journal of derivatives : the official publication … 22 (2015) 3, pp. 56-72

Persistent link: https://www.econbiz.de/10011399679

Robust Estimation of Shape-Constrained State Price Density Surfaces

Ludwig, Markus - 2015

In order to better capture empirical phenomena, research on option price and implied volatility modeling increasingly … demonstrate the numerical stability and the pricing performance of our method by approximating arbitrage-free implied volatility …

Persistent link: https://www.econbiz.de/10013036562

Sieve estimation of option-implied state price density

Luo, Junwen; Qu, Zhongjun - In: Journal of econometrics 224 (2021) 1, pp. 88-112

Persistent link: https://www.econbiz.de/10013275364

The pricing of credit derivatives and estimation of default probability

Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248

Persistent link: https://www.econbiz.de/10011438503

Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions

Todorov, Viktor; Tauchen, George Eugene - 2011

Persistent link: https://www.econbiz.de/10009561745

Implied volantility and state price density estimation : arbitrage analysis

Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; … - In: Computational Management Science : CMS 14 (2017) 4, pp. 559-583

Persistent link: https://www.econbiz.de/10011758973

Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-26

shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

Persistent link: https://www.econbiz.de/10011857274

Finite Gaussian mixture approximations to analytically intractable density Kernels

Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017

Persistent link: https://www.econbiz.de/10012135106

Nonparametric jump variation measures from options

Todorov, Viktor - In: Journal of econometrics 230 (2022) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10013463804

A non-parametric estimator for stochastic volatility density

Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10012655445