Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
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Dynamic Semiparametric Factor Models in
Risk Neutral Density Estimation
Enzo Giacominia …, dimension reduction, risk neutral density
AMS classification: 62G08, 62M10, 62P05
JEL classification: C14, C32, G12
1 … Litzenberger (1978) show that under no arbitrage assumptions the risk
neutral density is obtained from the European call price …