Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing … last two decades to calibrate a SPD using financial options from the bond and equity markets. Among these, non and semi … the model parameters and hence avoids problems with data sparsity. It is able to compute the SPD of both call and put …