Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a … constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this … estimator by implementing a covariance structure taking into account the time of the trade and by considering simultaneously …