Direct semi-parametric estimation of the state price density implied in option prices
Year of publication: |
2022
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Authors: | Frasso, Gianluca ; Eilers, Paul H. C. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 3, p. 1179-1190
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Subject: | Arbitrage-free estimates | Inverse problem | Penalized composite link model | State price density | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
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