Risk-Neutral Density Recovery via Spectral Analysis

DOI10.1137/110840340zbMath1284.91591arXiv1302.2567OpenAlexW2048336003MaRDI QIDQ2873144

Jean-Baptiste Monnier

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.2567

zbMATH Keywords

quadratic programmingsingular value decompositionspectral analysisnonparametric estimationrisk-neutral density

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Financial applications of other theories (91G80) Inverse problems for integral equations (45Q05)

Related Items (2)

Determining and benchmarking risk neutral distributions implied from option prices ⋮ Shape constrained risk-neutral density estimation by support vector regression

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