Monteiro, A. M.; Tütüncü, R. H.; Vicente, L. N. - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2010
Option price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating risk-neutral densities associated...