Hlavka, Zdenek; Pesta, Michal - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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...