Sieve estimation of option-implied state price density

DOI10.1016/j.jeconom.2021.03.003OpenAlexW3127834234MaRDI QIDQ2043257

Junwen Lu, Zhongjun Qu

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.03.003

zbMATH Keywords

inverse problemTikhonov regularizationhigh-frequency datastate price density

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
• Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
• Linear integral equations

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