Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity (Q2463504)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity |
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity (English)
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12 December 2007
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option pricing
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risk-neutral density estimation
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cubic splines
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quadratic programming
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semidefinite programming
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