Shape constrained risk-neutral density estimation by support vector regression

DOI10.1016/j.ins.2015.11.016zbMath1395.62078OpenAlexW2197546210MaRDI QIDQ1671251

Chuangyin Dang, Pengbo Feng

Publication date: 6 September 2018

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2015.11.016

zbMATH Keywords

option pricingnonparametric estimationshape constraintrisk-neutral densitysupport vector regression

Mathematics Subject Classification ID

Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20)

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