Recovering the real-world density and liquidity premia from option data

DOI10.1080/14697688.2015.1128117zbMath1468.91161OpenAlexW2296712822WikidataQ57710142 ScholiaQ57710142MaRDI QIDQ5001196

Jörgen Blomvall, M. Barkhagen, Eckhard Platen

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp363.pdf

zbMATH Keywords

simulated maximum likelihoodnon-parametric estimationlocal volatility modelliquidity premiareal-world density

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Ipopt

Cites Work

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