This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … conditional on the physical measure of the underlying asset. Via direct series type estimation of the pricing kernel we can derive …

We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives …

This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the … hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation ….r.t. reviewed parametric statistical families used for direct estimation. Additionally, we shall introduce the Fast Fourier …

with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …

This paper contributes to the literature on the estimation of the Risk Neutral Density (RND) function by modeling the … systematically undervalue the estimation. On the contrary, the SNP option pricing model, which explicitly adjust for negative …

This paper contributes to the literature on the estimation of the Risk Neutral Density (RND) function by modeling the … systematically undervalue the estimation. On the contrary, the SNP option pricing model, which explicitly adjust for negative …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …