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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Aït-Sahalia, Yacine; Lo, Andrew W. - In: Journal of Finance 53 (1998) 2, pp. 499-547

Implicit in the prices of traded financial assets are Arrow-Debreu prices or, with continuous states, the state-price density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and we derive its asymptotic sampling theory. This estimator provides an...

Persistent link: https://www.econbiz.de/10005302866

Nonparametric estimation of state-price densities implicit in financial asset prices

Aït-Sahalia, Yacine; Lo, Andrew W. - 1995

Persistent link: https://www.econbiz.de/10000935916

Nonparametric risk management and implied risk aversion

Aït-Sahalia, Yacine; Lo, Andrew W. - 1997

Persistent link: https://www.econbiz.de/10000637525

Nonparametric estimation of state-price densities implicit in financial asset prices

Aït-Sahalia, Yacine - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 499-547

Persistent link: https://www.econbiz.de/10001238271

Nonparametric risk management and implied risk aversion

Aït-Sahalia, Yacine; Lo, Andrew W. - In: Journal of econometrics 94 (2000) 1/2, pp. 9-51

Persistent link: https://www.econbiz.de/10001437741

Annals issue in honor of Jerry A. Hausman : editors' introduction

Aït-Sahalia, Yacine; Lo, Andrew W.; Newey, Whitney K. - In: Journal of econometrics 211 (2019) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10012303584

Special issue: annals issue in honor of Jerry A. Hausman

Aït-Sahalia, Yacine (ed.); Lo, Andrew W. (ed.); … - 2019

Persistent link: https://www.econbiz.de/10012303793

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